I bought the retail version of the game and the key doesn't work on steam, is there a way to convert it or exchange it for a steam key?
I don't have an optical drive.
Retail and Steam are two different versions, so I don't think this is possible. Perhaps you can refund the retail copy and buy the Steam one if you need it. Otherwise, maybe there's somewhere you can download it to install instead of using the disc.
You should check the requirements when buying games so that you know they will work for you. If you buy a disc, it's your responsibility to have a disc drive.