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I remember when I installed MiKTeX on my PC, I did it by clicking a series of links in a pdf document, which would run the various installer programs.
What (La)TeX commands were used to make that happen? How would I create a pdf with a link that, when clicked, will run C:\path\program.exe with command line arguments -args? Any differences for OSX/Linux?

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Potentially a high security risk, nonportable and may not work in many viewers.

Nonetheless, you are probably looking for hyperref, pdftex, pdfx & xmpincl.

The last one is the most complete package I know for including arbitrary XML/PDF stream objects in the pdf and the like.

Check your sample pdf, it was probably was made using Adobe products with ActionScript stuff. The above packages can do some advanced PDF features but I don't know exactly whether they can launch programs with arguments.

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Agreed- this is are neat tricks but the functionality required to use them may be disabled by default. Having someone put a link in a PDF that installs a virus would be bad news. –  Sharpie Jul 27 '10 at 2:36
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