The answer from vhanla (Nov 1, '12) has a problem: you're only launching the default application. For example, if I run mailto: then Outlook opens, not Mail.
In Windows 10, there's another way:
If you open the start menu and All Apps, you can normal click and drag (left click) a modern app, to create a shortcut. It doesn't work if you typed the name of the app into search, but it works if you browse to All Apps.
