This works for Windows:
CMD> start vscode://file/o:/git/libzmq/builds/msvc/vs2017/libzmq.sln
But if the filepath has spaces, normally one would add double quotes around it, like this:
CMD> start "vscode://file/o:/git/lib zmq/builds/msvc/vs2017/libzmq.sln"
But this messes up with start, which can take a double-quoted title, so it will create a window with this name as the title and not open the project.
CMD> start "title" "vscode://file/o:/git/lib zmq/builds/msvc/vs2017/libzmq.sln"