New programs will not be listed, you have to actually add an entry.  Go to the bottom of the SO list of menu lines and hit the down arrow on the keyboard to create a new empty line.  Following the syntax of the existing lines (level 2 since it is on the sub-menu, letter I with the & symbol, etc.)  Once you have added the line, drag the gray box up to the correct position immediately after SO-P-H.
 
You can use this same technique to add EXE files to the menu such as compiled Crystal Reports or even something like EXCEL.EXE