I have had issues over time with launching osu! through Steam.
The interface would lock up the game and causes me to shut the game down and reload.
Over time, I found that changing the steam overlay bind will fix the game from locking up.
Steam Overlay Bind: ` + alt
The other issue I always had was the game would never start. You give osu! the full permissions to start and run, not on the user level but on the admin level.
The best advice is to close Steam and run Steam as admin so you can launch osu!
Make a shortcut and turn Steam on Windows Boot off. The shortcut you can modify to have Steam run as admin. Once done, osu! should open up properly.
It is probably an issue with your UAC* permissions.
*Google - User Account Control
This will show you what I am talking about user permissions and administrator permissions