If your Steam desktop icons are showing up as “.url” files without their associated icons, then follow these steps.
- Type “Default apps” into the Windows search bar and open the app.
- Scroll down and click “Choose default apps by file type”.
- Scroll down to find “.URL”.
- Choose “Internet Browser” for the default.
One potential cause for this issue can be the removal of Internet Explorer from Windows using “Turn Windows features on or off”.