So I just got the free copy of Saints Row 2 but it didn't give me the steam code, instead the game can only be downloaded normally, without steam. Is there a way to get it in the steam code?

No, GOG is a digital distributor in its own right, not a Steam key reseller. You won't find any Steam keys here. On the other hand, the game is also free on Steam right now, so you can just go there to get a Steam copy: http://store.steampowered.com/app/9480/