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If this happens in future, you should open up the Task Manager and go to the Processes Tab. Then locate the HL2.exe and End that Process.
Regarding your problem of deleting the Steam.exe, you'll need to redownload the Steam Installer file: http://store.steampowered.com/about/
Move steamapps and userdata to you desktop, then proceed to deleting the entire steam folder including the steam folder itself. Then install steam, then move the folders back to where they belong.
Umm... Reinstall it....
I mean of course it doesn't work, you deleted the files and didn't reinstall it, at least from how you worded your issue.
Go to run and type steam.exe
I'm not suggesting to do a system restore but by navigating to Program Files and right-clicking on the Steam folder, and you will see a Previous Versions tab. All that needs to be done, is to select the last folder version, click open and you can copy the Steam.exe file back to the current folder.