GTR2 can be used in many ways. I use many Steam GTR2 copies, typically per mod, because that way game starts faster, and because different mods need different settings - for example: h-shifted, sequential, paddles, open wheeler vs tin top etc. Also, some mods work great at full details, while others need medium, same for sound volume levels - they are different per mod. So it is easier to have mods separate, unless you enjoy fiddling with settings all the time.
Copy step: you need to find where GTR2 is in steam, and create and save copy of that for future use. And then, install Anniversary on copy of copy of that.
Whether it is worth it it depends: it makes FIA GT 2003/2004 cars and tracks look very nice, adds rain wipers, is required if you want to beautify PnG and also FIA GT 2005 and much more. Run gtr233_setup.cmd to see all the options. But for other mods, I personally tend to just copy things I need over - tracks, UI, wiper textures as many mods are pretty self contained with their own tracks and enhancements.
GTR2 has several age related bugs that make it harder for game to start. Crew Chief app contains a plugin that fixes Steam GTR2 startup problems. You can find more info on that plugin at thecrewchief.org. Everything you need to know is in the plugin manual and if you want Anniversary patch, in the readme of the patch.