Register a custom URL Protocol Handler. Then you can specify the url using links, etc:
<a href="myapp://doSomething/>Click to run my app!</a>
I can confirm that this works in all versions of Internet Explorer. I've also tested it in the latest versions of Firefox (3.6) and Chrome (whose version escapes me). Chrome will not allow you to enter a custom protocol into the address bar, but it will launch applications from links using custom protocols.
If you have Adobe Reader installed, the acrobat://
protocol is registered. Unfortunately, SO doesn't allow links using custom protocols, so I can't add an example here I'm afraid.
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