First off, I apologise if this is old news / common knowledge / ben there dan that / bought the T-Shirt etc.
I have searched all through these forums to see if anyone has posted a solution to this and I couldn't find anything so forgive me if I missed something.
I was searching around the other day to find a way to do this through XBMC / Kodi (which I already launch via GameEx) and my god, there were some long arsed techniques to do this, that I just couldn't be bothered with. Then I started to launch GameEx through Steam Big Picture Mode which kind of worked, but used too much RAM and made my system unstable. DEmul wouldn't launch certain images because of a lack of RAM.
Anyway, I read something which lead me to creating a simple text file with a command to launch Steam in BPM mode and then created an emulator slot ("Treat as 1 PC Game") specifically to launch the aforementioned *.cmd file and to my amazement, it bloody worked lol. I didn't think it would! I've been dying to get this out there for anyone who is interested.
1. Open notepad. Type the path to your Steam executable in quotation marks followed by -bigpicture so it reads eg. "C:\Program FIles\Steam\steam.exe" -bigpicture
2. Save this file with the .cmd extension. Place the file wherever you want within your GameEx ROM structure.
3. Create a new emulator slot in GameEx. Name it whatever you want.
Enter *.cmd in the ROM Filter box.
Enter the folder that contains this .cmd file in the Working Path and ROM Path boxes.
Enter ""[ROMPATH]\[ROMFILE]"" in the Command Line box.
Then set "Treat As 1 PC Game" to True.
Exit Setup Wizard.
4. These last couple of points are important. I found the best way to get your Steam Client to behave itself with this arrangement and not clash with GameEx is to set Steam to "Launch in Big Picture Mode" and NOT to start up with Windows. If you always want your Steam Client running in the background, then this technique may not be for you and I apologise for making you read this far in.
5. You also need to exit Big Picture mode by selecting "Exit Steam". If you select any of the other options like "Minimise Big Picture" or "Exit Big Picture", it kinda clashes with GameEx and things go wonky.
So to summarise my long winded waffle, GameEx launches Steam into Big Picture Mode, takes a back seat, BPM takes over, logs you into Steam. Do what you do in Steam. I'm hooked on SpeedRunners. Exit Big Picture mode using the "Exit Steam" option only and after a black screen for 5 seconds maybe, you're back in GameEx as smooth as anything.
I love GameEx. I read through tens of dozens of pages on XBMC forums full of scripting BS and problems all over the place, and all I did was create a simple text file, point GameEx to it, work out the quirks of the Entry and Exit strategy and boom done!
Anyway, I hope this method works for you.