I have the same issue - It was supposed to be possible. Just posted topic on larian.com forum about this. Waiting for reply.
http://larian.com/forums/ubbthreads.php?ubb=showflat&Number=613429#Post613429

If you want to play with a specific friend, a somewhat hacky workaround is to install Hamachi and use direct-connect to their Hamachi IP. That's what we've been doing, and one of our players is on Steam.

It is definitely possible. My friend owns a Steam copy and I played with him for about 8 hours last night. It's just that the last hotfix seems to have broken the easy way to do it.

The trick is to connect via IP and to ignore the "allow direct connections" option which seems to be busted.

1) Add a port-forwarding rule on your router for UDP traffic on 23243-23253 (forwarded to your computer's local IP of course).
2) Find what your public IP is.
3) Create a new multiplayer adventure lobby. I had my connection options set so no GOG users can join, and allowed LAN connections.
4) Give your Steam using friend your public IP and tell him to use the "direct connect" option with that IP.
5) It should just work from there. We only had one connection hiccup over our 8 hours of playtime.

Hope that helps.