I got Thief on Steam but did update it to work. Like others say, get it from GOG.
However, I tried playing Thief and I just could not handle it. It aged very poorly. Graphically it is fine but the sound design is awful now. The shoes are a joke amongst players for a reason. They are too loud. To get anywhere I had to hold down the walk button despite it saying toggle. Could be because of Steam version. I don't know. As for the guards, bleh. So bad. I'll be honest. I didn't beat the first level because I raged. The mansion started out really cool with the awesome map idea where you are going off what you learned from people. However, when I started to have to deal with guards, it was awful. I was on the second floor of the mansion and was around the pool. A guard had heard me walking and I decided to sit around the corner waiting to whack him. Well, he got closer and closer and I could hear him right around the corner. I was in the "he's so close to me" mode then... "Stop right there!" He actually was behind me when it sounded like he was around the corner. Fighting is a bad option both because you are not a good fighter but also because the controls limit you too with the awful block. I basically rage quit there. I can't play a stealth game if I can't hear other people areoiund the corner. From what I heard, Thief 2 was more along the lines of fixing up the game by tossing the zombies and stufff for whatever reason they were there in the first place and I never heard anything good about Deadly Shadows. SO I gacve up on it. Kotor is taking its place in the backlog right now. Currently in the Undercity.