this is a URI scheme defined by BIP-21[1] and it is pretty much similar to what magnet links (for torrents) do [2]. they are feeding information to the application that opens these special links so you have to have an application installed that has the ability to understand these links. then all you have to do is click it. for example if you click on magnet: link it will open your utorrent app.

the first part before ":" is indicating the type of the URI and the application to use to open them. in this case it is a bitcoin wallet. the rest is the additional information that your application can use. the first is address which it uses to "pay to", the amount is the amount to pay to it and the message is simply a description that the wallet could save locally as a reminder so you know what the transaction was for.

[1] https://github.com/bitcoin/bips/blob/master/bip-0021.mediawiki
[2] https://en.wikipedia.org/wiki/Magnet_URI_scheme