To add a program to the Run menu, go to Options|Run Menu. Put the name of the program you want to run where it says Select Program to Add to Run Menu. At this point you may Save the current record (for it is actually a record in a database), and the program will appear in the Run menu. You probably however should set several options first.
Checking the Current File Name as a Parameter check box will send the name of the of the file currently open to the program as a parameter. So if the program is a compiler, the current file will be compiled (or possible not compiled), or if the program is a web browser, it should display that file.
Another important check box is the Save All Files on Run check box. When a file name is sent as a parameter to the program, if the program uses it, it will use the file that is saved on disk. Thus, Save All Files on Run makes the file on disk match the file you are editing (which is probably desired). It is usually a good idea anyway to save your files in case the program--or more likely the program you compiled--crashes ends up crashing your computer.
The other options seem self explanatory and will probably not be as neccassary. See help on the Execute Menu to see how to run a program after you have compiled it.