Setting up Steam to launch Combined Ops. can be a bit tricky but it's actually very simple.
Unlike when having a retail version, Steam versions of ArmA2 and/or Arrowhead put the A2 and OA content in two different folders - and not in one as when you have the retail versions of the games.
The fix for combining A2 and OA through Steam is actually quite easy. Take a look a my post here, Slides. It's about the similar question that you have.