The following works in KDE, but may also work elsewhere.
If the program is already in your application menu, skip this first section.
Right click on the menu icon.
Select Edit Applications
Tab to the appropriate applications folder
Select New Item
Give it a name
A dialog will open that allows you to fill in the fields description and comment and enter the full path to your new application.
Then select Save.
Now your application is in your menu and you can launch it from there.
This will create a .desktop file for you.
If you want to, you can add its icon to your desktop or panel.
Open the application menu and find the icon for your application.
Now, you can drag it to your desktop or panel and it will be added there.
Then, you can right click on the desktop and select unlock widgets.
Once you have done this, you can drag your new icon to wherever you want it on your desktop or panel.
When you're done, right click on the desktop again and select lock widgets.
If you're application doesn't display the icon you want, you can right click on its icon and select Properties.
Click on the icon displayed in the properties and it will let you select another icon from the many it already knows about and will even let you search your file system if you know where the icon you want to use is stored.