Some packages include a 'something.desktop' file (usually placed in /usr/share/applications). If they do, an entry appears in the desktop menu. The vast majority of executables do not have menu entries - a typical installation will have a thousand or more executables, which would make for a very crowded menu.
If you'd like to add an application to the menu, you can simply copy an existing .desktop file for an application in the menu section of interest, and edit it. It's a simple, self explanatory text file. Usually the only things you'll need to change are:
Name= The name as it appears in the menu
Comment= The text that appears as you hover over the menu entry (optional)
Icon= The icon to associate with the entry (optional)
Exec= The name of the program to run. You can also include options.