What is the error you are getting? I was getting an error and I looked it up and discovered it was due to my monitor being on 16bit color. Once I switched to 32bit color the game ran fine
edit: I switched it by right clicking on desktop and going "personalize" -> Display settings -> Colors (picking "highest 32 bit" setting)
What about if you tried to launch the executeable file directly from the folder itself? So it's c:\program files\steam\steamapps\common\baldur's gate - enhanced edition....or something like that (at work and can't check)
If you double click the baldur icon and it "thinks" for a second and then stops, you'll know there is something causing the program to stop running. It would be easier to figure out if it would give an error message though...
That's a problem with running programs through a launcher. It hides the process behind another layer. I had a problem running BGEE through GOG Galaxy and I couldn't figure it out until I ran baldur.exe directly so I could see the error. Now I just put shortcuts to the .exe on my desktop and ignore the launchers completely.
I had the missing OpenAL problem one time, and I fixed it by searching for, downloading, and installing OpenAL separately. I may have uninstalled it when I was cleaning out my hard drive of programs I didn't recognize.
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edit: I switched it by right clicking on desktop and going "personalize" -> Display settings -> Colors (picking "highest 32 bit" setting)
If you double click the baldur icon and it "thinks" for a second and then stops, you'll know there is something causing the program to stop running. It would be easier to figure out if it would give an error message though...