Can you be more specific? Where do you want the program, Desktop, Menu? What are you using, GNOME, KDE, Xfce, Fluxbox, etc...
Some things to try:
-Right Click on nothing but the Desktop or Filemanager (Don't click on the file itself)
-Look for Create New -> Link to Application
For a menu:
-Go into the Control Center and look for a menu editor ( Some desktops have such a program in the Utilities or Configuration menus. ) Then just add it manually.
-Fluxbox, Openbox, etc... Have only a text file for the menu. There you need to find that file in ~/home/.xxxx and edit that file.
Hope this helps you...
P.S. In the future try to add as much info as you can. That will make it easier for us to help.