[windows] How do I create my own URL protocol? (e.g. so://...)

Here's a list of the registered URI schemes. Each one has an RFC - a document defining it, which is almost a standard. The RFC tells the developers of new applications (such as browsers, ftp clients, etc.) what they need to support. If you need a new base-level protocol, you can use an unregistered one. The other answers tell you how. Please keep in mind you can do lots of things with the existing protocols, thus gaining their existing implementations.