Many people asks how to do this exactly, when you have an exe file, not an installed application (through .CAB or whatever), and you want to have it in the Programs menu, to be able to add as shortcuts, widgets, etc.
1.- Open Windows Explorer and go to the folder where the EXE file is
2.- Select the file and and click on “copy” it
3.- Click on Menu->Edit->Paste as shortcut. This will create a shortcut to your exe file
4.- Select the shortcut and “cut” it
5.- Go to “YourDevice\Windows\Start Menu\Programs” and paste the shortcut there.
Now, your exe file will be available through the “Programs” menu option, so it will be visible for any "skin” or “today” application you have installed.