Well, you can't yet. The only difference between Steam shortcuts and normal shortcuts is that the URL (they're a web shortcut, aka *.url) starts with "steam://". You can just send every .url file into a certain fence, but if you ever send a web shortcut to desktop they'll be sent there too. I wish they'd add a way to create a sort rule depending on the protocol, so that "http://" could be differently sorted from "ftp://" or in this case "steam://"!
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