Ok so I did the following which works :
HKEY_CLASSES_ROOT
alert
(Default) = "URL:Alert Protocol"
URL Protocol = ""
DefaultIcon
(Default) = "iexplore.exe,1"
shell
open
command
(Default) = cmd /k set myvar=%1 & call set myvar=%%myvar:alert:=%% & call "C:\Program Files (x86)\Internet Explorer\iexplore.exe" %%myvar%% & exit /B
Then have your link
<a href="alert:www.google.ie">link</a>