Can I create OneNote links that open in the desktop app instead of the web app?

Links copied from OneNote look like this.
(Not a working link; much of the id has been removed)

https://skydrive.live.com/edit.aspx/OneNote/@Home?cid=125154654&id=documents?&wd=target%28General.one%111-9848-4DEE-95E4%2fVerizon%20Bill%20Figures%7c34DE9-00-4B84-90B6-CE0C9%2f%29 onenote:https://d.docs.live.net/dc516d79ac0/OneNote/@Home/General.one#Verizon%20Bill%20Figures&section-id={4DEE-95E4}&page-id={003E-4B84}&object-id={0DCF-1D9C}&15

Copy the text starting at and including onenote: and everything after. Use it to create a link from any other application and the OneNote app will launch.

Updated answer for OneNote for Windows 10 as of build 1806 and later:

First, get the pair of links to the workbooks:

1. Open your workbook (in the app)
2. In the notebooks list, right click on the desired workbook
3. In the context menu, select 'copy link to notebook'

(as noted in related articles, copying this link actually puts 2 flavors of link on the clipboard)

Next, paste the links into a text editor (e.g, Notepad.exe). Note that there are 2 lines pasted, and the path in the second isn't quite the same as the ID in the first.

1. https://__redact1__.sharepoint.com/personal/__redact2__/_layouts/OneNote.aspx?id=__redact3__
2. onenote:https://__redact1__.sharepoint.com/personal/__redact2__/Documents/__redact4__/

And finally, paste the onenote:http://... line into a new desktop shortcut.

It will open in OneNote app. You don't need to make the shortcut invoke the onenote .exe, it's already magically bound to the onenote: protocol.