Sadly, this is considered a security issue and the move is for web browsers to be programmed not to allow such. Imagine if we allowed a web site to run format or delete commands with abandon?
The answer for coporate intranets is different. Your IT would change the security settings in IE to allow such.
The good news is that from the internet, such actions are blocked by design.
I don't use scripting very much but need to know how to generate a script that would run an executable linked to a web page icon. Similar to entering a application in Windows RUN line.