The portion with the HTTP://
,FTP://
, etc are called URI Schemes
You can register your own through the registry.
HKEY_CLASSES_ROOT/
your-protocol-name/
(Default) "URL:your-protocol-name Protocol"
URL Protocol ""
shell/
open/
command/
(Default) PathToExecutable
Sources: https://www.iana.org/assignments/uri-schemes/uri-schemes.xhtml,
http://msdn.microsoft.com/en-us/library/aa767914(v=vs.85).aspx