I'm not sure if this if I'm supposed to put this here put I figured you can just close it otherwise. I know that Launchy currently only supports opening HTTP URI's but I would like to propose a feature to open Steam links.
This will open Steam and I think that Steam itself recognizes which game the server is running, starts the correct game and connects to the server
Feel free to submit a pull request. You should be able to implement it in the same way that http is handled. See https://github.com/copiousfreetime/launchy/blob/master/lib/launchy/applications/browser.rb for reference.
Closing, lack of interest