I'm assuming you have email notifications on in your Steam settings. Whenever I purchase on Steam, I get an email confirmation about the transaction. If you got the confirmation but the game doesn't show up in your library, contact Steam and give them your transaction details. If you didn't get a confirmation, check your credit card acount just to be sure that you're not billed for something you didn't get.
Retail is an option! However, once you install it from the disc, be ready for a fair bit of update to be downloaded nonetheless. Though, it'll take far lesser time than downing the entire game. What I meant was Metro is a huge game. I don't remember the exact size but I'm guessing about 15 gb or so? The time taken for downloading it will depend upon your internet speed. I use a 4MBPS connection. On that, a 15gb file would take me a full night (roughly around 12-16 hours. If your speeds are faster (say T1 or something) then it would take lesser time. All depends on your connection plan.