Heroic Launcher, Lutris, Bottles, or just launching them through the command line if you really want to for some reason, are your options. Heroic I just started using and it's great. It's especially good for games from other stores, but you can add anything to it. Lutris is pretty good, but you have to add everything manually (which you'll have to do no matter what for what you're asking about). Bottles is functional, but it is much harder to use than the others, but probably lighter weight if that matters to you at all (and I'll tell you now, it doesn't).

You can just add the .exe to steam and then they are as plug and play as most other steam games.