How can I run a Windows application in a Steam game's folder?

There’s a configuration *.exe in the folder where my Windows Steam game is installed and I want to run it to change some settings. How should I go about doing that in Lutris?

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If the game is installed in Lutris (that is, you have an icon for this game in Lutris GUI which you can select and click “Play” to run it), then at least for regular Wine games (most likely for Winesteam too) you’ll have an option “Run EXE inside wine prefix”. Although in my experience, when a Steam game has external configurator Steam usually offers a menu to choose if you want to play the game or run setup.

For games imported from Steam, there is no such option

Yeah but unfortunately not for this one

…Just tried running Winesteam, installing a game and importing from it. The imported icon does in fact have the “Run EXE inside wine prefix” option, same as regular Wine games.

Did you perhaps install the game in native Steam (via Proton)? If you did you should’ve mentioned that, since as far as Lutris can tell it’s a native Linux game install.
For Proton, you’ll have to install protontricks utility (Proton wrapper for winetricks), and then use it to run the program from shell. The following is usage example for running Duke Nukem Manhattan Project configurator:

$ protontricks -s duke   # querying prefix id
Found the following games:
Duke Nukem: Manhattan Project (240200)
$ protontricks 240200 shell
<steam-game-dir>/steamapps/compatdata/240200/pfx/dosdevices/c: $
# shell session opens in C: of wineprefix, <steam-game-dir> is configured Steam game folder
$ which wine    # checking if using correct wine binary
<steam-game-dir>/steamapps/common/Proton 4.2/dist/bin/wine
$ cd <steam-game-dir>/steamapps/common/"Duke Nukem Manhatten Project"
$ wine MPconf-old   # running MPconf-old.exe
$ exit   # closing Proton shell session

I thought this was what everyone was doing nowadays since Proton is fully implemented on the Linux client now so I didn’t think people still used the Windows version of Steam for anything

Using protontricks seem to have done the… trick, thanks!

Not all games work correctly under Proton (around 40% of reported games don’t work at all, apparently), and even those which work aren’t always perfect and/or work out of the box (while not all users are willing to spend time fixing them by hand). So there’s still a reason to use Winesteam installs.
More importantly, a Proton install is considered a native game by Lutris which changes the answer to your question drastically, so this is a detail that should be mentioned.

Okay that’s understandable but

I’m probably being dumb here but won’t Winesteam still just use the same technology as a native Proton install does? So the around 40% reported games that don’t work at all would still not work in the end regardless if it’s installed from Winesteam or via Steam Linux’s Steamplay right? Or am I misunderstanding things?

Proton is a modification of Wine with some changes (mostly with goal similar to purpose of Lutris install scripts but strictly general-purpose or related to the very short list of “officially supported” games). It’s not really identical.

Case in point: Risen 2, out of 7 test results for Steam version on WineHQ it has 3 Gold ratings and 2 Platinum (the lowest being Silver), but all 12 test results on ProtonDB are Borked (even though two of them mentioned it works fine when using Wine). And yes, I also was unable to run it with Proton, regardless of which version I used or which fixes mentioned on WineHQ page I applied.

Also, using Proton you can only get out-of-the-box prefix with maybe a few Steam-installed dependencies, while Winesteam install scripts may include Winetricks overrides (which sometimes include workarounds for known Wine issues with those libraries).

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Thanks for enlightening me, I never thought of it from that perspective