As root, make sure that your application runs correctly and that all of its pieces are where they are supposed to be. Then, set the permissions on the application to be read-write-execute by root and read-execute by all other users.
If you are running Mandrake 9.0, as a regular user with KDE up and running:
(1) right click on the task bar start button (the "K" symbol in the bottom left corner of the screen).
(2) A pop-up menu will appear. Select menu-editor from that menu. The menu-editor will take a little time to set itself up.
(3) Once the menu-editor is up and running, use the tree display in the menu-editor's left window pane to select where you want to put your icon in the Amusement section.
(4) Create a new entry and fill in the fields, which are: (1) short name: your choice; (2) command: the full path and filename of the program you want to run. Left click the icon button to change the icon to the one you want.
(5) Save your results.
I don't know specifically about the Linux distributions other than Mandrake 9.0 but suspect that the mainstream ones (e.g. Red Hat) are similar.