1. Create a new file under ~/.local/share/applications named: %S.desktop
  2. chmod +x %S.desktop
  3. The file contents need to look like
[Desktop Entry]
Name=Crusader Kings III
Exec="/home/stef/Games/Crusader Kings III/start"
Icon=/home/stef/Games/Crusader Kings III/
Type=Application
Categories=Game;
StartupNotify=true
Comment=Start Crusader Kings III

Or another example for steam:

[Desktop Entry]
Name=Contraband Police
Comment=Play this game on Steam
Exec=steam steam://rungameid/756800
Icon=steam_icon_756800
Terminal=false
Type=Application
Categories=Game;