Importing Non-Steam games into Steam allows you to use your Vantage controller even if the game does not natively support PlayStation® 4 controllers.
To import a game into Steam:
Step 1: Launch Steam
Step 2: Click the Games menu, choose “Add a Non-Steam Game to My Library.”
Step 3: Browse for games on your computer or put a check next to the game(s) you wish to add to the Library.
Step 4: Click on "Add Selected Programs".
For more information regarding importing Non-Steam games into Steam, please search the Steam knowledge base found on their site here.