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Introduction
Steam's Rich Presence is what populates all the details about a user in the Friends list and importantly for multiplayer games, it's what enables the "Join Game" button on the Steam friends list.
Join Game Button
The Join Game button located on the Steam friends list in the Steam client lets a user simply click a button and it will launch the game if it's not already running and provide the game with connection details so it may join that player to their friends game.
What happens when a user presses that button is
If the game is not already running
Launch the game
Provide the connect string as a command line parameter
Read more about Set Rich Presence and the connected field
This will set the local user's connect information to whatever string you provide for connectionData. What exactly you should pass into as your connection data depends on how your game handles the connection.
This would usually be the CSteamID of the server you are playing on, or the IP and Port if it's using a traditional TCP/UDP connection or the CSteamID of the "Host" if you are playing P2P.