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You will need to check the box next to the games or programs and then choose the “Add selected programs” option. This is because Steam itself has support for a number of applications and you might want to integrate something to Steam like a Game Booster.
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The list that will appear will have both your non-Steam games and any other programs that you might have installed. To begin with, open your Steam client, click on the Games tab and choose the “Add a Non-Steam Game to My Library…” option.
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