The easiest way is to copy a .desktop file inside $HOME/.local/share/applications and work from here:
[Desktop Entry]
Encoding=UTF-8
Value=1.0
Type=Application
Name=The Dark Mod
GenericName=The Dark Mod
Comment=The Dark Mod
Icon=$HOME/darkmod/TDM_icon.ico
Exec="$HOME/darkmod/thedarkmod.x64" %U
Categories=Game;
Path=$HOME/darkmod
(The Dark Mod is great by the way)