I know that
<a href = 'ymsgr:sendim?contactID'>Send me a message</a>
will launch Yahoo Messenger.
can I create something like this to launch MSWord or my own application?
Here is an explanation of what you're describing: https://stackoverflow.com/a/16586294/4500419
And here you can find the URI specifications for Microsoft Office: https://msdn.microsoft.com/en-us/library/office/dn906146.aspx#sectionSection4
So, something like
ms-word:ofv|u|http://yoursite.com/document.docx
Would open document.docx in read-only mode in MS Word.
And here's the doc on how to register your own application to a URI scheme in Windows: https://msdn.microsoft.com/en-us/library/aa767914%28v=vs.85%29.aspx