You can add non-Steam games to your library. It won't recognize it as the same game as the one you can purchase through Steam. Doing this has two effects: 1) you can now launch the game from inside the steam client (merely a convenience factor). 2) You will appear to friends as playing a game, "In non-Steam game (gamename)".
I'm not sure if this is what you were hoping for, but in case you are here's how to do it:
Open the Games menu
Choose Add a non-steam game to my library
Click the browse button on the new window that pops up. EVE.exe may show up in the list, but I recommend using the launcher file instead as it handles all the patching. The launcher can be found in the launcher directory in the main EVE folder (EVE\launcher\launcher.exe).
Select the launcher.exe file and click open.
Click Add selected programs.
This will add the game to your library with the name "launcher", and launching it will display your status as
"In non-Steam game launcher"
Right-click on the game in your steam library and change its name from launcher to EVE Online, or whatever you want to call it. You'll now show up as
"In non-Steam game EVE Online"
Otherwise you have to purchase the game through Steam.
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