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Mornagest: OK thank you for your very useful answer.......

I downloaded BGEE yesterday evening and I'm not bash-expert.

And since clicking on the BGEE icon in the main menu doesn't do anything, I cannot see any other way to launch the game but that script.

If you have any real answer to give, I'm opened to suggestions.
who said it's an expert thing to run an executable with an env var in front of it???

cd <path_to_bg>/game
mkdir mylib
get older openssl for you distro at
cp <openssl_libs> mylibs
LD_LIBRARY_PATH=mylib ./BaldursGate

leaving it for your exercise to make it work with the .desktop launcher...
Well, "expert" was an allegory but I'm not accustomed with script manipulations and I guess I'm not supposed to be just because I run on Linux.

On the post I linked above it is written that you have to replace a line by another, and since the mentioned line doesn't exist anymore, and since not everyone is supposed to know where to put the lib variable... well, I hope you understand.

I asked Vv221 who answered me and linked me to this page:
If you have Steam you may not need to install anything else to solve it.

My fix for this issue by adding this library from the steam runtime (yes for the GOG version) to the LD_PRELOAD.
Just add this line at the start of the file:

export LD_PRELOAD=~/.steam/bin/steam-runtime/lib/x86_64-linux-gnu/