I just won a region-restricted key.

contact support

Report giveaway and user, and try to comunicate with user about the key. That's all you can do right now.

(I'm French too!)

Well, you live in the wrong country.

contact the giveaway guy and ask them if they'll fix it (buy a copy over steam and gift it or whatever). only contact support after 7 days, and dont mark recieved unless youve actually got the game added to your account.

Mark gift not received..but first contact the creator, so that he has time to send you a key that is not region locked.

Contact the person you won the game from and maybe the two of you will be able to work something out - i.e he/she sends you another key/gift that's not region locked. If not mark it as not received and contact support about the user.

Start moving...

I can't find any region-locked keys for Call of Juarez: The Cartel in Steam's database. So either this is some sort of bug, or the key is wrong / fake. Try to contact the seller and see if he responds. If not, mark as not received and be done with it. May as well contact Steam support to ask if that's a bug or not, but I somehow don't think it is.