So my problem is that steam is not downloading the update for me and I need to run it myself my problem is that is say it can't CKII where am I suppose to save the .exe
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You can't manually patch Steam version. Manual patches are only for GG version. What update you are not getting. You could give more detales so people here can help you with it.
Steam updates you to 1.05g automatically (unless you've turned that off in the Steam client of course), you don't have to (and indeed can't) patch it manually. the .exe patch is for the Gamersgate version only.
What you can try is uninstalling the local game files in the Steam client, then install the game again.
What you can try is uninstalling the local game files in the Steam client, then install the game again.