If you want it to find random files scattered on your hard drive, have it use Nepomuk and then configure Nepomuk's search path.

If you want it to find executable binaries (no metadata), maybe the PATH variable will help you, but... you can also put shortcuts (.desktop files) in any of the usual XDG paths for shortcuts /usr/local/share, ~/.local/share, etc. Then KRunner will recognize them and display their descriptions and icons, too.

Sometimes KRunner doesn't recognize shortcuts that have just been updated because KDE's index of them is out of date. You can update it with 'kbuildsycoca4' at the command line.