Hi Andres

The are two ways in which you can add options to the New menu.  This first is automatic.  If you create a new workflow for an entity with a primary rule then this new rule will appear in the menu.  The second is manual.  The menu is a system menu called 'new' and can be found under the admin screens.

Administration → Advanced Customisation → System Menus

You can add new options to this - BUT beware you can also accidentally remove or change items!