Step 1: Create a new shortcut on your desktop (right click, new > shortcut)
Step 2: Enter "steam://rungameid/[App Id (this one is 241640)]
Should look like "steam://rungameid/241640"
Step 3: Name it the game you want to play
Step 4: Launch the shortcut, steam will automatically download the game for you
Step 5: Have fun!