Right click the game in the steam library and hit play or just double click on the icon or game name. And steam client needs to be running when launching the game!
Let me guess, you put a shortcut on the desktop and now you think you don't have to keep steam in your task bar anymore?
MISTAAAAAAAKE!
You're gonna have to find something else to shut down to speed your windows launch, steam is necessary evil, like the devil skulking in the corner somewhere that will drive his horns up your
gluteus maximus if you go anywhere without him.