you must to create rule in SEPM.
You can create new rule or modify your application rule > Application Control > click Add
you can see new window. and click add under left side. click it and create new rule.
(by the way you can use group policy (if you have Active directory Or local policy) for block exe files under user congfiguration> administrative templates>system>don't run specified windows applications. you write exe name in here.like fifa09.exe etc.