The game requires the installation of DirectX which normally comes with Steam Common Redistributables, but for some reason, this is not installed by default. Without this, the game will not start. So after searching for so much, I saw that if I go to the sidebar, where the list of games is and change Games to Tools, I will find Steam Common Redistributables in the list and request its installation. After installation, when opening the game for the first time, it will appear that it is installing DirectX and it will appear on a black screen. Closing the game and opening it again, the second time it will open perfectly.

Valve needs to review the game's installation script and add Steam Common Redistributables to make the game playable without modifications.