I'm in the middle of downloading it from Steam, but according to (knowledgeable) users I've seen post on other message boards, they downloaded and played without a hitch. No install, no activation, just downloaded and played. Outside of installing Punkbuster/Gamespy stuff for Crysis Wars, that is.
On another note - wow, EA must have done something incredibly different this time around with their distribution. I preordered the game on Steam and am downloading it now, but I was still curious on the piracy situation. The results were incredible:
Unlike the first game, which was ripped, cracked, and torrented weeks before release, even last night, the night before the game's release, there wasn't a single real torrent of the game anywhere to be found. Google searches returned torrents that people were complaining about being fake, or nothing at all.
Now, I just checked again for the hell of it, the only thing available is an un-cracked version. Congrats, EA - you somehow eliminated zero-day piracy of Crysis Warhead. They must have threatened the duplication factories with massive lawsuits, or something like what Ubisoft did after their games were leaked from a duplication plant.