On windows?

Yes, on Windows.

OK. Any specific website that sends this request?

Sorry, but no - this link is private. I can only specify that it's a link to open video chat. This chat can be participated via browser or via app. Something like Jitsi. So clicking on link sends you to webpage containing two buttons: Open via browser -or- Open in app. And even without me clicking any button it tries to open app that I don't have. This is very annoying. So I want to block this permission to be asked on this site.

Ah, OK. Something like MS Teams. This should be listed under ≡ -> Settings -> General -> Applications. You can choose either an app or "Always ask", but I doubt it's possible to select "Don't do anything".

Yes, you're right. Is there any extension or may be hidden option in about:config to address that issue?

Something like browser.helperApps.neverAsk.openFile