I could not get the steam shortcut to work and I hate having the launcher always start first. So I figured out how to launch the game in one click.

open the game folder C:\Program Files (x86)\Steam\steamapps\common\fallout new vegas\

right click on FalloutNV.exe and create a shortcut.

Edit to short cut and change the target to

C:\Windows\System32\cmd.exe /c set SteamAppID=22380 &&"C:\Program Files (x86)\Steam\steamapps\common\fallout new vegas\FalloutNV.exe"

Then right click on the shortcut and pin to taskbar.

Now you can start the game with one click. (Or a keyboard shortcut, like win + 5)

(if your on a 32bit windows make sure you change "Program Files (x86)" with "Program Files")