Manual:$wgUrlProtocols

Details
Defines the protocols which are supported and translated to HTML by the mediawiki parser.

1.5.x
This setting is a regexp expression which matches the beginning part of the possible URI; in other words, it is a set of prefixes separated by "|", with "/" converted to "\/".

Default value:

The default value causes MediaWiki to render URIs with the following prefixes as external links:
 * http://
 * https://
 * ftp://
 * irc://
 * gopher://
 * news:
 * mailto:

1.6.x
The format of this setting has changed to an array simply listing URI prefixes.

Default value:

Older Versions
If you need this functionality in older Versions:

There is the function replaceExternalLinks in ./includes/Parser.php. Just add a line for your protocol there.