Well, that depends on the dmenu version you have. In 0.2, you have to edit local/dmenu/dmenu.cfg . In 0.3 it´s a bit trickier, you have to edit a .cfg in the themes folder you use (i forgot the name, maybe it is theme.cfg or something like that; i still use 0.2).
Add this to your dmenu.cfg:
MenuItem Frontier
{
Icon = "res/games/frontier.png"
Name = "Frontier"
Executable = "./frontier"
WorkDir = "/usr/local/games/frontier"
}
and edit the Icon and WorkDir according to where the files are stored on your SD. Same goes for Super Methane Brothers and any other app for Dingux.