put it in the install directory. if you're using a standard setup it's "C:\Program Files\Steam\steamapps\common\Company of Heroes 2". if there isn't a directory then make one. steam (unlike origins) will automatically detect the files.
that's why i brought up multiple HDD/SSDs btw, i have all (~~600GB) of my games on D:\ and when i do a reformat i just have to reinstall steam and it automatically finds everything.
I tried that though, it gives a app crash and then steam tried to 'add' (download) coh.
I saved a link at home, to a thread that stated you have to add some file, which states the game is installed.
@ipkai
If this solution of mine does not work, or I cannot find that file, I will give your way a shot.