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There's a way to add non-Steam games to your library:

Open Steam. Click the "Add a game" button in the bottom left. Then click "Add a non-Steam game."

From there, you can add any game you have installed to your Steam library. It's only a shortcut, so you have to have the game installed. Steam makes it so easy to organize our games! I love it!

I know but... that kind of defeats the purpose I want, that outside game would still be installed outside anyway. Reviews of library games, achievements, trading cards, Steam cloud and such functions would still be exclusive to Steam games.