It's called the protocol. The only thing that prevents you from making your own protocol is you have to:
- Write a browser or user agent of some kinds that understands that protocol, both in its URL form and in the actual data format
- Write a server that understands that protocol
- Preferably, have a specification for the protocol so that browser and server can continue to work together.
Windows makes #1 really easy, an in many cases this is all you actually need. Viz:
Registering an Application to a URL Protocol