Steam – How to get the Steam Game to Launch

I just bought Sonic CD on my Steam account. Whenever I try to play it, A window opens up giving me two options: "Play Sonic CD", or "Video Setup."

If I choose "Play Sonic CD", Steam will go to a loading screen for a second or two and then just bring me back to the Steam Menu. If I choose "Video Setup", a different window comes up allowing me to change the window size for the game.

I don't know what I need to do to get the game to launch. If you know how this problem can be fixed, please tell me how I can fix it?