Quality is delighting customers
Recording web applications is no brainer, just remember to import JMeter's self-signed certificate into browser when you are recording HTTPS traffic. See HTTPS recording and certificates chapter of the HTTP(S) Test Script Recorder documentation.
The similar thing you need to do for HTTPS and Desktop applications, the JMeter's certificate needs to be added to Trusted Root Certification Authorities. Also you need to figure out the correct way of setting your desktop application proxy. Check out How to Run Performance Tests of Desktop Applications Using JMeter article for more details.
JMeter tests are built around the idea of a test plan. Within a test plan you can have Thread Groups, controllers, listeners, timers, assertions, and other elements. In JMeter each test plan is a performance test scenario - it's the series of steps JMeter will execute when you run the plan.