Rainbow Six Vegas 2 Retail download? (Have key, no CD)!

If you have a key, you can try to activate it on Steam and DL the game through Steam. If it doesn't work, you can always download a pirate copy and use the legal CD key to install and register the game. It's not illegal, as you (I really hope) did pay for the CD key?
 
Taking it all with a grain of salt, there's lots of ways a key can be obtained via internet, lax stores' security, IT warehouses' workers, you name it. So it'd be interesting to know the whole story, maybe the user has accidentally destroyed the discs, while retaining the cd key; it's a possibility, but oh well.

And then, suggesting downloads of a pirated game, that's condoning piracy in itself, no matter what happened, and how the poster got his cd key.

Now a solution would be contacting the game's publisher/developer and take it with their customer service and see if they can get you a replacement copy, based on your actual cd key.
 
Unfortuntly you can't activate it on Steam.

The best solution would be to contact the games makers directly with the situation.
If you download an iso or similar from shady sites you will run the risk of viruses, malware and the works.