Both KDE and Gnome have menu editor tools that you can use to add the application to the main menu.
In re the command line not working, I'll assume you are fairly new to command-line operations, and offer this advice:
If the executable you want to start from the command line is in your path, it should work as you tried it. If it is not in your path, it won't work as you tried it. You need to do one of two things:
1) cd to the directory which contains the executable, and issue the command this way: ./sunstudio.
The leading ./ tells the shell "in this directory".
2) from anywhere in the directory tree, issue the command giving the full path to the executable. For example, if the executable in in /usr/local/bin, you give the command as: /usr/loca/bin/sunstudio.
If you don't know where the executable is, issue this command: which sunstudio. The return should be the path to the executable.