ArenaSH Launcher is a small app that registers the arena:// url protocol with your operating system to let you join servers with a single click. It's completely open-source and available for all platforms. For documentation, please refer to the readme file in the source code.
Looks like you don't have the ArenaSH Launcher installed. ArenaSH Launcher is a small application runs the exact launch command you see in this page when you click JOIN.