If you are using a recent version of Clickteam Fusion 2.5+, you may be able to install it via the built-in Extension Manager:
Once you've downloaded and extracted the steamworks.mfx file, you'll need to integrate it into your game. This typically involves: steamworks.mfx download
Without this file, your Clickteam Fusion game cannot unlock Steam achievements or use Steam Cloud saves. If you are using a recent version of Clickteam Fusion 2