You can load any non-Steam game into the Steam menu, so that all your games are in one place. Whatever you want to play, you know it's in Steam instead of having to search for the right folder under the start menu or whatever. It's especially handy for stuff like TDM which doesn't install any start menu shortcuts or similar automatically (I like my desktop bare of any icons apart from Recycle Bin. Anything I use regularly, which for games is basically Steam and nothing else, sits on the quick launch bar). If you run a game through Steam in this way it'll add the Steam overlay to the game, so you can chat to friends on Steam and such from 'in-game' without having to alt-tab out every time (which for me, frequently crashes TDM, whereas Steam chat via the overlay doesn't).