First, your example is NOT sending data from a web server to a Windows application. What you're seeing is a URL that uses a custom Protocol Handler.
The URL is a shortcut of some kind, be it a shortcut on the desktop, Start Menu, a URL link you click in a browser window, ..., whatever. When you launch or click that shortcut, Windows looks up the protocol to see if there is a registered "handler" for it. In the case of Steam, the "steam:" protocol is handled by a locally installed application, NOT A WEBSITE!
The registered app is then launched and the link that was clicked is passed to the application as a command line argument for the app to process.
You can create your own protocol handler application any way you want. Start by Googling for "
C# custom protocol handler[
^]" and start reading.