You can launch client apps if the user's desktop is configured properly. Skype, for example, has its own url type that you can invoke. If you've set up Skype on your machine, you should be able to launch it. Many desktop applications don't have this kind of url though, so your mileage may vary.
All you'd need to do in Pega is to create a hyperlink to the url. In Pega, go to the actions tab of your button. Add an action of type "Open URL in Window".