Hi, sugapablo.
Icons on the right side of the Apple menu bar, other than the Spotlight icon, are known as menu extras.
You can't directly add application icons to the menu bar. The Dock or the Finder Sidebar are where you should place icons for frequently-needed applications. See:

• <a href='http://docs.info.apple.com/article.html?path=Mac/10.4/en/mh145.html'>'Ma c OS X 10.4 Help: Adding items to the Dock.'
• 'Mac OS X: About the Dock.'
• 'Mac OS X 10.4 Help: Organizing the sidebar in a Finder window.'

You can launch applications via the menu bar through the Scripts menu extra.
1. Launch the AppleScript Utility, which is found in the Macintosh HD > Applications > AppleScript folder.
2. Select:
• 'Show Script Menu in menu bar.' This places the Scripts menu extra in the menu bar. It looks like a scroll of paper being partially unrolled.
• In 'Show application scripts', select 'top.'
3. Add aliases to applications you want to use frequently to the the Macintosh HD > Library > Scripts folder. If you do not know how to create an alias, see:

• Mac OS X: How to Make an Alias.
• 'Mac OS X 10.4 Help: Creating an alias.'

You can then launch the applications whose aliases you've added to that folder by selecting them from the Scripts menu in the menu bar.
You can also create a new folder in the Macintosh HD > Library > Scripts folder, e.g. call it 'Apps' and place the aliases to applications within such to better organize where the aliases reside. Mousing over the Apps folder in the Scripts menu will display a secondary menu showing the aliases to applications you've added therein.
Note that there are a variety of third-party applications, such as launchers, that can be added to the menu bar that will enable you to launch applications from the menu bar. However, one should be very careful with these for the following reason: Apple reserves that area for their own use, and they state so in the Apple Human Interface Guidelines. In the chapter on Menus, in the section on Menu Bar Extras, they write:

'Reserved for use by Apple, the right side of the menu bar may contain items that provide feedback on and access to certain hardware or network settings...
Important: Don’t create your own menu bar extras. Use the Dock menu functions to open a menu from your application’s icon in the Dock.'

Accordingly, developers should not be creating or requiring their own menu extras. Third-party menu extras have often become problematic after Mac OS X Updates as they use hacks, like MenuCracker, to load their menu extra. Changes in the OS introduced by Mac OS X Updates can render third-party menu extras incompatible.
Good luck!
😉 Dr. Smoke
Author: Troubleshooting Mac® OS X