To connect to your Conan Exiles server, you will need to add the server to your favourites on Steam:
- At the top of the Steam window go to View > Servers then once the servers window opens click on the Favourites tab
- At the bottom of the window, click on add server
- Paste the Query IP from the control panel into the address box, then click find server
- Once a server is found, click add server to list
Now that the server is added to your Steam favourites list, open the Conan Exiles game then on the server browser select the Favourites filter. Your server should then appear, and you will be able to join.