Can you post a screenshot of the properties?
I'm suspecting that the file type has had its defaults changed to Notepad, and we should change it to Steam.
On the other hand, in the past, people have often not reported success creating Steam shortcuts this way. See if this path still exists:
right click on game in your library
click 'properties'
select 'local files' tab
click 'browse local files'
locate your games MAIN exe - it might be in a subfolder if you don't see it
right click on main exe and select 'create shortcut'
move your new shortcut to the desktop or wherever you want
Microsoft MCE, CASP+, Linux+, Server+, Cloud+, Certified Forensic Computer Examiner