Within Steam, when you selected the SDK in the "Tools" menu of the Library, the first option was "Install Game". That should have begin the scripts that would set up all that was necessary to make the SDK work, including placing an icon on the desktop. Steam knows where your Civ5 copy is installed, so it shouldn't have had any problem with linking to the core assets, the only thing it asks about is where to place created mods, maps, and such.