I am creating an app with a shared session capability. For example a private app-to-app chat session...
I would start the app and create a \"chat room\" then \"share\"
You can have your application install a protocol handler.
http://msdn.microsoft.com/en-us/library/aa767914(v=vs.85).aspx
http://msdn.microsoft.com/en-us/library/windows/desktop/bb266526(v=vs.85).aspx
Since your app must be installed on both computers, both would have the protocol handler installed.
A protocol handler allows you to define a new protocol name, similar to http: or ftp:, and have your application handle requests for that protocol. I once wrote one for Enterprise Architect that allowed users to share links to diagrams in projects using the format ea://MyProjectName?diagram=SomeDiagram.
You can check out that protocol handler here:
http://sourceforge.net/projects/eaprotocol/