It's pretty basic. Just follow this guide, I even added pictures so I can't see how you could get lost.

1. Add a non-steam game to steam. Can be anything, we'll be changing what it actually launches in a second. If you don't know how to add a game to steam for some reason, see this-
http://i.imgur.com/peXuR.png
2. Now, right click the game/app you just added to steam, and choose Properties. A window will pop up, keep that window open.
3. Right click the Spiral Knights shortcut on your desktop you've more than likely made by now. If you haven't made one, it should give you the option to when you exit Spiral Knights. Choose properties, again. Another window will pop up. Click the "shortcut" tab in this window.
4. Now, with the two shortcut property windows open, you want to copy the stuff from your Spiral Knights shortcut over to your steam shortcut, like so-
http://i.imgur.com/tBwE8.png
5. Close the properties window and launch that shit, it should work.