This is still possible in Windows 10. If you can confirm what browser you are using when looking at websites, we can provide some more specific information.

Assuming you are using Chrome as your browser, try these alternate steps:

Go to this URL in Chrome: chrome://settings/handlers
Make sure “Allow sites to ask to become default handlers for protocols (recommended)” is enabled.
Now go to Gmail in Chrome: https://mail.google.com
Once Gmail opens, look in the address bar in the top right corner for the double-diamond icon Jake mentioned. Click this and choose Allow. Here is a screenshot of the icon and the menu that appears when you click it:


I just tested this in Chrome on Windows 10 and it works!