Ok this is quite simple, what you want to create is a named file with a .desktop extension such as below(Here is an image):
Comment=Application for managing and playing games on Steam
What you can do is run gedit(or your favorite text editor) with sudo by using the terminal application.
Browse to the
directory. It should look something like this:
Select any .desktop file, it should look something like the steam.desktop example above. After you have edited it it should be close to this:
Exec=sh [link to file]
Icon=[link to icon(not required)]
Categories=[choose what categories you want this file to fit into such as Game,Browser ext.]
It is important to note that the link to the files has to be the full link not a short ~/ link. Also if you want to run your script as root add "gksudo"(gksudo has been removed from ubuntu as of 13.04, you can install it by running the command "sudo apt-get install gksu" in the terminal) before the sh command on the Exec line.
Once you have saved your file, right click, go into properties, permissions and make sure that Allow executing as file is ticked. Then restart, it may not be required though.
sudo gedit [your chosen desktop file]
sudo nano [your chosen desktop file]
Edit it then save as what you want to call it.
chmod a+x [your saved desktop file]
You may need to restart you pc