Two ways. Either copy-paste the entire Europa Universalis IV folder from "steam/steamapps/common" directory, make a shortcut for eu4.exe, and run it through that (but that might take a while to copy the entire game).
The alternative is to run the exe directly in the steamapps/common folder. The second one doesn't work for certain games, though, as I remember doing that once for another game and it still had the overlay enabled.
Or, you know, you could just turn off the overlay.