Find GTA 5 in your game list. If you just bought it, it will appear there. Click the blue "Install" button.
After the download finishes, Steam automatically extracts and installs all game files. You do not need to click a separate Setup.exe . Steam will create the shortcuts. Download Gta 5 Setup Exe
Select where you want the game installed (e.g., D:\SteamGames instead of your C:\ drive if it's small). Find GTA 5 in your game list