The Ultra High Quality Mod does work with Steam version but it takes a bit of extra fiddling (well worth it imo). Here's what I did:
1) Download the mod then make sure you have run the vanilla game at least once in order to set up basic options such as sound, keys, etc. Don’t worry about resolution settings at this point but you will want to turn on 32 bit colour and possibly enable hardware audio.
2) Copy contents of the folder "DeusEx Ultra High Quality Mod Files", and paste inside the Deus Ex system folder (usually C:\Program Files (x86)\Steam\steamapps\common\deus ex\System) replacing all files. Remove (x86) from path if on 32 bit o/s
3) Run the HDTP-Release1.exe installer contained in the download. This will drop some files in your Deus Ex system folder and a shortcut on your desktop. When not using Steam, you would simply use this shortcut to run the mod but Steam doesn’t like this so...
4) Backup DeusEx.exe in Deus Ex system folder. Rename HDTP.exe to DeusEx.exe so that Steam will use the new executable instead.
5) The shortcut that the installer placed on your desktop has some additional parameters that need to be passed to the new executable upon launch. Right click the shortcut and copy the parameter part (begins ‘INI=’) then paste that into the ‘set launch options’ section for Deus Ex in Steam (right click Deus Ex game in steam, click ‘properties’, then click ‘set launch options’). The installer for the mod does not actually set this parameter correctly because if you look there are spaces in the path names and they’re not enclosed in quotes. Add the quotes in when you paste into launch options. The text you paste into 'set launch options' should look something like:
INI="c:\program files (x86)\steam\steamapps\common\deus ex\System\HDTP.ini" USERINI="c:\program files (x86)\steam
\steamapps\common\deus ex\System\HDTPUser.ini" log=HDTP.log
6) Edit HDTP.ini in Deus Ex system folder to set line starting 'CdPath=' to 'CdPath=..\GOTY_1'. Then set your desired screen resolution (set this by changing values for WindowedViewportX, WindowedViewportY, FullscreenViewportX, FullscreenViewportY settings).
7) Run Deus Ex via steam (desktop icon that Steam created, or within Steam itself, doesn’t matter, but don’t use shortcut created by mod installer).
8) At the graphics driver selection screen choose ‘show all’ then select ‘Direct3D9 Support’. If you don't get this initial selection screen at launch, find it via Settings -> Display -> Rendering device
9) Start game.
Optional: With this mod enabled the in-game menus can appear overly bright. Go into Settings -> Colours and change the colour scheme for the in-game menus to something that will show up better than the default scheme.