If you have applications that have registered protocols, you can configure ftrack Studio to launch the application from the components tab or when clicking a version's thumbnail.

Also see using actions, for a more flexible way of launching applications without the need of configuring protocol handlers. 

Configuring file types
To configure protocols, navigate to System settings > File types and add a new entry mapping the component extension to a protocol. 

Clickable thumbnails are always linked to the component which is named according to the playable component name for the asset type.