Case 1: You own a retail copy of Forged Alliance
According to GPGs last statement, you can use your CD key and redeem a licence on Steam.
If you have a gold edition (Supreme Commander and Forged Alliance in one) you have two CD keys, and from my personal experience each of them can be redeemed for a gold edition on Steam. (-> so you could give one cd key to a friend )
If you refuse to use Steam in general, then you can't play. (Read more why we require Steam here.)
Case 2: You bough the game on GOG.com
Sorry, we do not support licence checking on GOG. We are in contact with GOG to resolve this issue.