Hey, I just tossed together a quick tutorial with screenshots for anyone who might be a little confused with the process of obtaining the steam:// url's. (just in case)
I just got done testing this with the Bioshock Demo, so I know these guy's instructions work perfectly fine. :D This is only for clarification.
1: Have steam open, go to the url in your firefox for the thing you want. In this example, I'm using the Portal Demo here: http://store.steampowered.com/app/410/
screenshot: http://mixmadmen.com/steam-tutorial/1.png
2: click on the button (here it is ">>Install Demo") and another popup will come asking if you do or do not have steam.
screeonshot: http://mixmadmen.com/steam-tutorial/2.png
3: Right click on that popup's background and select "View Page Source" and you will see a copy of the page's contents. In here, you will need to look for a section that says "gotSteam_yes", and below it you will find the URL that you need. (In the screenshot I have it highlighted) ...You need to make sure you do NOT take the url from the section with "gotSteam_no" because that's one that will take you to download steam.
screeonshot: http://mixmadmen.com/steam-tutorial/3.png
4: now we will use what Ken Thomases explained. (I'm using Ubuntu Hardy, so in this case you will) go to Applications, CrossOver Games, Run a Windows Command. In this popup, you will type start your_url_from_step_3_here
hit enter.
screeonshot: http://mixmadmen.com/steam-tutorial/4.png
5: Done! :) A popup with the Installer will come up and the rest is self-explanatory.
screeonshot: http://mixmadmen.com/steam-tutorial/done.png
I hope this helps anyone who feels a little bit lost! :D