Check your shortcut to the Salem app. Right-click>Properties. It should say something about "Type of file" and "Opens with: Java Web Start Launcher" Under "Location:," it should say where the Salem directory for files is located. If you don't see all of this, either Java didn't install correctly (see #3 below), or didn't associate .jnlp with Java Web Start.
#1You could also have a setting turned off in Java's settings preventing it from launching files from your browser, which would be any Java Web Start apps (.jnlp). Open Java settings (under Control Panel in Windows). On the "Security" tab, make sure "Enable Java content in the browser" is checked. You should be able to launch now.
#2 If Java didn't configure correctly, but is otherwise installed, you can manually associate .jnlp files to launch with Java Web Start, javaws.exe. Right click the salem.jnlp file, select "Open With..." and you will need to browse to where you have Java installed, typically C:\Program Files\Java, navigate to the current version number (latest version would be the folder jre1.8.0_31), then the "bin" folder. Select the "javaws.exe" file and hit "Ok". Everything should work fine now.
#3 Finally, did Java install properly? I'm assuming you attempted to install Java 8. Check this page:
http://java.com/en/download/installed8.jsp. If you can run that Java app, Java should be installed properly. If not, you should uninstall Java, use the
Java clean-up tool, and reinstall. (Note: the clean-up tool can be used to find old versions of Java that might be floating around your system all or in part and remove those.)
As far as setting it up with Steam, I don't think it should make a difference. I don't know of any issues off hand of using Steam to launch it, as Steam merely makes a shortcut just like Windows and, if possible, sets your activity as "playing non-Steam game ...." I could be wrong with Java Web start apps. (I'm not seeing any issues in a cursory search of Google.)