This looks nice huh?
you want make your steam a little prettier too? no problem! (side note: im using pixelvision steam skin)

1. set .GBA files to always be opened through a emulator (Double click the .GBA file and windows asks you which exe to use in this case Visualboyadvance.exe)
2. You'll have to add an .exe as a short-cut to your steam library (in this case Visualboyadvance.exe)
3. manually change the files path through the settings and target your .GBA file (in this case Metroid - zero Mission)

Now steam will allow you to open your .GBA file through it, displaying to your friends that you're playing a GBA game, however the steam overlay won't work in emulators except for PCSX2 and maybe others (havent tested yet).

Adding own thumbnails to your emulator game
1. You'll have to change your short-cut's path to an .exe that allows the steam overlay, open the .exe and take a screenshot (for best result take a big screenshot).
2. Open the screenshot by clicking on "View Screenshots Library" and the click "Show on Disk" and edit the screenshot, remember to keep the name and resolution.
3. Delete the thumbnail in the "Thumbnail"-folder
4. Click upload screenshot and set it to "Private", this will keep it from dissapearing by a steam reboot.
5. Now re-write the path to your GBA file.
Your .GBA short-cut should now work AND have a screenshot + Thumbnail

Choosing a Icon is a little tricky now cause Steam dont accept .ico files.
I use the Visualboyadvance.exe Icon but you might use own but then you must make a own .exe file and give it a icon.
you can also do this with other emulators and fill your steam with your little Pirrrrate Library
enjoy!