1. /etc/xdg/menus and make a new .menu file.
2. edit /etc/xdg/templates/_root_.jwmrc to tell it about he new .menu file you made.
3. Then make some .desktop files in /usr/share/applications to fill up the category you made.
4. then make a .directory file in "/usr/share/desktop-directories" for the icon.
5. Do a "fixmenus" followed by "jwm -restart"
JWM window manager
How I customize my Puppy menu (for jwm) - Method 1
How I customize my Puppy menu (for jwm) - Method 2