You have to create a reg file. If you're not sure what you're doing with the registry - don't do this.
Here's an example:
Windows Registry Editor Version 5.00
[HKEY_LOCAL_MACHINE\SOFTWARE\Cakewalk Music Software\Tools Menu]
[HKEY_LOCAL_MACHINE\SOFTWARE\Cakewalk Music Software\Tools Menu\Audition]
"ExePath"="C:\\Program Files (x86)\\Adobe\\Adobe Audition 3.0\\Audition.exe"
"HelpFilePath"=""
"MenuText"="Adobe Audition"
"StatusBarText"="Launch Audition"
"Type"="WaveEditor"
[HKEY_LOCAL_MACHINE\SOFTWARE\Cakewalk Music Software\Tools Menu\Line 6 Edit]
"ExePath"="C:\\Program Files (x86)\\Line6\\Line 6 Edit\\Line 6 Edit.exe"
"HelpFilePath"=""
"MenuText"="Line 6 Edit"
"StatusBarText"="Launch Line 6 Edit"
"Type"="Generic"