I've set up my Hammer something like this:
Tools--->Options-->Build Programs--->Game executable: C:\Program Files\Steam\Steam.exe (make it point to your steam.exe)
Then when you are about to compile the map, at the "Normal" compile-window under "Additional game parameters:" write:
-applaunch 70 +developer 1(You can add additional game parameters after the applaunch-part, in this case I've set dev mode to 1...)
Then press OK to compile and the game should start your map after compile. Although I think the Steam-client must already be running in background for it to work properly.
(applaunch 70 is Half-Life, applaunch 10 is CS 1.6, other applaunch-values can be found here:
http://developer.valvesoftware.com/wiki/Steam_Application_IDs )