Sites like Steam and Rhapsody use steam://xxx and rhapsody://xxx in web pages, and when you click on them they cause specific actions in their (locally installed) client applications.
I would like to do this for something I'm working on and I just don't know what the search term is so it's hard to get started. What is this called?
The part before :// is called the URI Scheme. Historically, they were often called the protocol as their primary purpose was to setup communication (e.g. HTTP, FTP, TCP). These days, URI Schemes are used for a variety of purposes (launching apps; making payments; creating appointments).
The Internet Assigned Numbers Authority (IANA), best known for their role in allocating IP-addresses and managing the DNS root zones, also manages the list of well-known URI Schemes.
Besides the well-known URI Schemes, most platforms allow developers to register their own schemes:
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