Doh! I guess I forgot to document it.
I'll do that here in a sec......
***edit*****
Ok long story short go to the misc utilities section and download the custom list and dat generator. (The one at the bottom.) Run it and select manually creat a list file. Now you will be presented with a General "rom info" screen. The game title is the name that is actually displayed in lazarus, the romname and cloneof are the full path to the exe (including exe name and extension). The rest is just misc stuff that is only for filtering purposes. Click add to add it to the list and then save. Now if you look in the folder that the list helper.exe is located you will find a custom.lst file. Copy this to your lazarus directory (it's ok to overwrite) Now to make this game show up on a list you can use the search string "1=the title of that particular game" or "5=Custom".
The next time you regenerate your gamelist it will show up. Btw don't worry about rom paths and a .cfg file for these entries as they are manually added.
That's all there is to it.
Btw this is also useful for files that have a default program associated with them. If you want to say, have a list of all the emulator documentation in a gamelist you could add them all in a custom list and when they are ran windoze knows to open them with notepad or wordpad. The same goes for mp3 files, movies files or anything else you can think of. Of course there is the matter of exiting, but the custom entries are compatable with the generic command line wrappers, just remember to make the exe path the path to the wrapper when you go to add things to your custom list.