You can buy it DRM free from GOG.com
http://forums.taleworlds.com/index.php/topic,319719.0.html
GamersGate will probably give you a refund if you ask nicely, although they do state on the game's page under requirements that it is a Steamworks game. Could be more pornounced though, especially since I am sure lots of people still have the old non-Steam Warband on GG (I know I do).
If you do want to get Warband on Steam though it goes on sale for $5 almost every month and will more than likely be a daily deal during the upcoming Steam holiday sale in a week or two. Warband's retail release was the Steam version too.
EDIT: It seems the GamersGate version of Warband also includes a Steam key! I did not know that until now. So if you did buy Warband on GamersGate, you can go to your profile there and go to your copy of Warband and there will be a key there you can activate on Steam. Much easier than asking for a refund and buying VC somewhere else.