In your steam library, there should be a button in the bottom left that says "add a game". You can use this if you have a steam key for something, but you can also add a shortcut to a game that you don't own through steam. Once you do that, just go to the "properties" menu for the game, and in the compatibility menu select "force the use of a specific steam play compatibility tool". Experimental or any recent version should work. After that, you can just launch the game through steam and it should do all the work for you