Is your issue that it is the webgui URL that is launched instead of the win gui.
Maybe some of these links can guide you?
http://wiki.sdn.sap.com/wiki/display/CRM/CRM+WebUI+-+Launching+transactions+in+GUI+for+Windows
http://help.sap.com/saphelp_nwes70/helpdata/en/cd/38dff9732f441a8026a6af3f9a0c77/frameset.htm
/fredrik