First thing you need to know is that this works only for desktop apps built with Electron. Secondly, inside such an app, at bootstrap time the coders needed to add something like this:

//Register Protocol
app.setAsDefaultProtocolClient("vscode");

Which registers the electron application with that protocol, so that the app will be the one reacting when you try to open it from the browser You can read more about it in the docs here or in this article here.