Whenever I get a new game I add it to my steam list so I can use the overlay to chat in game, but when I tried earthworm Jim and mdk with it it does not start up, and along with the game process a separate process called "gog.exe" appears. Whats going on here?

You have antivirus software running while gaming? If so it could be that which is stopping the game from running. I just did a search on gog.exe and it is also the file name of a virus so perhaps your AV software is flagging it and not allowing it to run?
http://www.auditmypc.com/process/gog.asp
gog.exe (hllp.philis.b virus) - Details
If your pc has the gog.exe process running on it, your pc may be infected with a virus that goes by the name of hllp.philis.b.
gog.exe is considered to be a security risk, not only because antivirus programs flag hllp.philis.b virus as a virus, but also because a number of users have complained about its performance.
I just downoaded my first game from gog so will check into this gog.exe in a minute or two.

Games that normally wouldn't be XP/Vista compatible need a little boost to get going on those OSes. Sometimes it's with DOSBox, and sometimes it's with that gog.exe thing. I don't know if they do the same thing for each game, but at least in the case of Descent 2, gog.exe is basically just using DOS4GW to run the game. If the game isn't starting up, the gog.exe process might end up hanging around, so you'd have to manually kill it.
On a tangentially related note, I tried adding Descent and Descent 2 to my Steam games list, but for some reason I can't change the icons to the appropriate .ico files in the game folders--it just ends up showing blank icons. I've tried using ResHacker to replace the icons in dosbox.exe and gog.exe (the actual executables that run when you launch the games), but that doesn't work either. Anybody have any ideas?

MDK series, Fallout Series and Descent series did not work for me in the steam overlay. Il just tell the people on my buddy list i am to busy playing awsome games :)
but i think it has something to do with the files being run in a way so they work on newer systems. maybe theese things do something to screw up the steam launcher.

Games added in Steam are played with what is called the Steam Overlay. It's the one which enable you to Shift + Tab and chatting with your Steam buddies. I think it's called the steam community, well nevermind.
Some games can't accept that and will just not start :(
So whatever, you click on a desktop icon to play it.
Oh and btw, if you have gog.exe, you have a virus (it has nothing to do with Good Old Games though).
EDIT: faster than me Ruberduck :>

the only thing that makes me think that its not a virus is that it only ever appears when I'm playing a Good Old Games game. could it be a program GoG uses for compatibility?

you're buying games from a company called GOG, and when you run them a process called GOG.exe appears in your process list, and you think it's a virus? really?

I ain't see any gog games with a gog.exe. In fact I tried only 2 games from here, so maybe it exists, some dude from the Team should come here to verify.