How to launch an application from a browser?

The correct method is to register your custom URL Protocol in windows registry as follows:

[HKEY_CLASSES_ROOT\customurl]
@="Description here"
"URL Protocol"=""

[HKEY_CLASSES_ROOT\customurl\shell]

[HKEY_CLASSES_ROOT\customurl\shell\open]

[HKEY_CLASSES_ROOT\customurl\shell\open\command]
@="\"C:\\Path To Your EXE\\ExeName.exe\" \"%1\""

Once the above keys and values are added, from the web page, just call "customurl:\\parameter1=xxx&parameter2=xxx" . You will receive the entire url as the argument in exe, which you need to process inside your exe. Change 'customurl' with the text of your choice.

You can't really "launch an application" in the true sense. You can as you indicated ask the user to open a document (ie a PDF) and windows will attempt to use the default app for that file type. Many applications have a way to do this.

For example you can save RDP connections as a .rdp file. Putting a link on your site to something like this should allow the user to launch right into an RDP session:

<a href="MyServer1.rdp">Server 1</a>

Some applications launches themselves by protocols. like itunes with "itms://" links. I don't know however how you can register that with windows.

@AbhijithCR 's reply works well. To register the protocol via a .bat file, do something like this

set key=customurl 
reg add HKCR\%key% /ve /d "URL:Description" 
reg add HKCR\%key% /v "URL Protocol" /d "" 
reg add HKCR\%key%\shell 
reg add HKCR\%key%\shell\open 
reg add HKCR\%key%\shell\open\command /ve /d ""c:\path to\your.exe" ""%%1"""

For me getting all the quotes and the double percent signs right was the tricky part.