if you installed the package via the fedora package management tool 'yum'. The when you right clikc on the kmenu and choose the edit menu option, then go make a new item and fill in the section for the app name etc then on the command part you put in the ame of the binary e.g. firefox or amarok.
If its something like a game that you did not install, then you need to give it the path to the shell script e.g. /home/Michael_aust/Games/ut2004.sh