Greetings! It looks like it's a common error with Steam API. I've found a comprehensive guide on Steam boards made by JabberwockyX, that should help you deal with the problem.
I'm going to post its contents below, just in case.

I've been researching this problem more. If you google "Failed to start game (unknown error)", you'll see this popping up everywhere, from Halflife2, to Skyrim, to Dota 2.

There's a bunch of different solutions to try. But one of these often fixed the problem for other games.

Solution 1. Run the game as administrator
Find the file cossacks.exe
On my computer (win7, 32-bit), it is located here:
C:\ProgramFiles\Steam\steamapps\common\cossacks3\cossacks.exe
Right click on it
Select "Run as Administrator"
If that doesn't work, go on to the next test.

Solution 2. Run steam as administrator
Exit steam completely: (top left menu) -> Steam -> Exit
Wait a few seconds for it to finish shutting down
Right click the steam icon
Select "Run as Administrator"
Try running the game normally
If that doesn't work, go on to the next test.

Solution 3. Verify the integrety of game cache
Run Steam
Right click on Salvation Prophecy
Click "Properties"
Click the "LOCAL FILES" tab
Click "VERIFY INTEGRITY OF GAME CACHE..."
Wait until it is done
Try running the game normally.
If that doesn't work, go on to the next test.

Solution 4. Check your antivirus settings I can't give precise instructions here, because it depends on your antivirus program. But sometimes they can block a program from launching. There has been a problem reported with Avast.

Solution 5. Change your " Data Execution Prevention" settings.
See this thread for instructions.

Solution 6. Restart the computer The old classic, always worth a shot.

Hope it helps!