If it is feasible to have a web-app attached to (the back-end of) your desktop app, then sending a "traditional" reset-password link probably involves the least effort on the part of users (although using the browser just to reset the password may be a little strange).
If that's not feasible (i.e. you don't have the opportunity for a web-server to feed updated passwords into the main back-end), then two possibilities come to mind:
Reset Password Code
Have the email include a "reset password code". This would be akin to the long string of random characters contained in a reset-password link and is intended to stop someone randomly resetting another's password.
Have your normal login dialog include an "Enter password reset code" button. This would take them to a new dialog where the user can enter (or, probably, copy/paste) the code from the email before being given the opportunity to specify their new password.
A slight variant could be to allow them to paste the code into the "normal" username field (the email would tell them to do this). So long as the "reset code" cannot be mistaken for a real username, it would take them to the reset-password dialog. This saves having to have an extra button and an extra dialog (where they enter the code).
Register An Application Extension
In Windows, at least, it is possible for a program to "register" an extension (e.g.
.docx is often "owned" by Microsoft Word). When you "start" (e.g. by double-clicking) a file with a registered extension, the currently-registered application will be launched.
Your desktop application could register something like
.OlaAppPw, and the email could contain a small attachment with this extension (e.g.
TripeHound.OlaAppPw). All things being well, double-clicking on the attachment will launch your desktop app, passing in the name of the file. This file can contain the "reset password code" that a web-link would normally contain, and the app can show the reset-password dialog instead of the normal login dialog.
I say "all things being well": some email systems may block, or restrict, users' ability to open attachments with "weird" extensions. Also, many spam/phishing emails contain "Your bank account has been blocked. Open the attachment to reset..." so some users may be averse to doing this (but probably should be equally averse to following a link in an email).