Steam FAQ has answers to all of these questions!
Q: I've heard that Steam doesn't work well with mods, how do you get it to run mods?
A: Its quite simple really. Again, all you have to do is right click EU3 in your steam library, choose properties, then on the box, click SET LAUNCH OPTIONS... From that box, enter '-mod [mod folder name]'. To get the mod folder name, if you don't know, you go to: [Where you installed steam]\steam\steamapps\common\europa universalis iii - complete\mod
You take the name of the mod folder exactly and enter it into the launch options box. For example, I want to play the Whole World Mod. I take a look and find out the mod folder is called 'WholeWorld'. When that's done, launching the game will launch the mod.
Q: I just bought/redownloaded EU3 Complete/HTTT/DW/Chronicles off steam, and its installed the latest patch/game. I don't want to use that, its incompatible with x.
A: Unfortunately, when steam downloads/installs a game, it will automatically go to the latest patch. You are unable to stop it at 4.0 for example, it will go automatically to 4.1. There is no way to toggle this. You can't roll back to any previous version once the newer one has been installed. Example: If you buy Chronicles or Divine Wind, you can only only play Divine Wind, not any of the other previous expansions.