1. If you're trying to use it as a non-Steam program within Steam, go to the Add a Game icon on the bottom left of the Steam launcher, click Add a non-Steam game and go from there.
2. If you're trying to use it as a replacement for an already existing executable for a game, you'll have to rename the executable to the one that Steam already recognizes as the one to use (in the same directory, too). If the executable you're using relies on the main game's executable to run, too, then this option won't work.