What you're describing is a "URI Scheme handler". You register that your program listens for SOMETHINGSOMETHING://
.
The steps involves placing some information in the registry, which you likely need administrator access for, so a setup program is probably your best option.
The registry information you need to add is this:
HKEY_CLASSES_ROOT
SOMETHINGSOMETHING
(Default) = "URL:SOMETHINGSOMETHING Protocol"
URL Protocol = ""
DefaultIcon
(Default) = "Path\To\Your\Executable.exe,1"
shell
open
command
(Default) = "Path\To\Your\Executable.exe" "%1"
Note that all of this has to be done on the client computer, you cannot force this on the computer from the webpage, other than letting the user download a setup program that will do the work.
Obviously this answer is for Windows, if you need to do similar actions on Linux or OS X then the work to do is similar but the steps involved are different.
You can read more about this on MSDN: Registering an Application to a URI Scheme.