K&L needs Games for Windows Life (GfWL) to run, even if GfWL was shut down years ago. Steam won't install it directly so you need to find the installer.
Usually it is located in a folder called "XLiveRedist" in the games directory.

If you don't know how to find the game directory do this:

1. rightclick on the game in your steam library
   
2. select "properties"
   
3. select the "local data tab" in the new opened window
   
4. click on "browse local data"

Run the XLifeRedist.exe you find. It might be necessary to run it as administrator.

Now launch the game with Steam. You do not need to create a GfWL Account or to copy the key Steam shows when launching.

Have a look at the PC-Gaming Wiki Site [pcgamingwiki.com] for your problem.

I am NOT the support for this game.