Kabus: GameManager good tool for this. But you should wait V4 release to download.
What I really wish is that there was a program like this, but I could tell it where to find the installers for my games and it would be able to keep track of what I do and don't have installed so I could install and launch all my games from the same place. Since I have all my game installers organized in a folder on my server, it really would make it convenient...
Tallin: Actually, it does just fine seeing Steam games. It's added Half-Life, Civilization 3 and various other games I bought off Steam (note: you have to run the game at least once). The problem is this only works for older games that it has in its database. For newer games, it's up to the developer/publisher to create Games Explorer shortcuts that can be added. With FNV, for instance, if you right-click and choose "Add to Games Explorer" then it adds the shortcut. Most games on Steam don't seem to have this option, though. Still, don't blame it on Games Explorer when it's not actually it's fault. It can't add games it doesn't know about and developers are really supposed to create these themselves (though in some cases I think Steam removes them or their just not properly updated, since they are available in retail releases of the games). It's not like MS doesn't make it really simple for them.
IronStar: Not in my experience with it. I've beaten HL2, and it's not there. Same goes for many other steam games. It works properly with GOG games, I give them credit for that.
That's 'cause GOG games all have a GDF file, which is what is necessary to put a game in Games Explorer if it is not already in the database. It's supposed to standard on all Windows games since Vista, but Steam and Steamworks games mostly ignore it, except games like Fallout New Vegas, which are also Games for Windows certified...
It's funny, because Microsoft has provided really easy instructions, and tools that make it even easier. It takes all of 5-10 minutes for a developer to put a file together, provided they have all their information and an icon created...