Note: This only works for games which query off the Steam Server List, some games will not work.
To connect to your Steam server through a windows command, you will first have to ensure your Steam client is open and logged in.
Next find the IP and port to connect to. Open your server on the Game Panel and find the Query Info. If your server does not have Query Info, use the Connection Info.
Highlight your Query (Or Connection) info by highlighting all numbers to the right of the text.
Then copy this, by either click clicking on it and pressing copy, or pressing CTRL+C.
Now open Run on your computer. You can do this by either opening your Start button and typing run, or holding the windows button and pressing R.
Once in the Run command box, use the following command to connect to your server.
steam://connect/IP:PORT
An example of this is
steam://connect/45.121.211.142:22125
Once you press OK, your PC should automatically open the game and connect to your server.
If you are left with a box similar to this one, it is generally an indication you have not used the query info, or that your server is not querying correctly.
Please feel free to submit a support ticket if you have any issues with this.