This article is taken from the Windows95 Annoyances page found at

If you're using Microsoft's Internet Explorer, you've undoubtedly been annoyed at the lack of support for other clients for email, telnet, etc. Here's how to configure your own client (using Telnet as an example).

Open My Computer, select Options from the View menu, and click on the File Types tab. (if you're using the newest verison of IE, you can view the File Types in IE's Options window.)

Click on URL:Telnet Protocol, and click Edit...
Click on open in the list of Actions, and click Edit... again.
Click Browse..., and choose the desired client (zMUD). Close each window by pressing OK.

That's all there is to it.