Yea, you need to be connected to the internet and let Steam connect to be able to play Steam games. I dunno if Anthology is a new release or an old version. But since it came with steam I guess it's a new release.
Anyway, you need to let Steam connect to the internet so it can download some unlock files so you can play the game. Try seeing if something is blocking Steam, or try re-installing the game and Steam alltogether.
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The Oddworld Wiki
When one person suffers from a delusion it is called insanity. When many people suffer from a delusion it is called religion.
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