To create a short-cut on your desktop: Right-click on your desktop, select
"create launcher" select the icon by clicking on the button that has a
spring on it on the left side of the dialogue box that pops up. Type a name
for it, the select browse to navigate to the executable, or just type the
name of the program like you would if you are executing it from the
terminal. (In case you didn't know, you can launch just about any program
from the terminal: for example, open up the termial and type "firefox")

To get in in your menu: Right click on your menu, select edit menu, click
on the submenu you want to add the program to, and click "add item", then
follow the steps above.

I got no idea on the radio part of it.