You can add an arbitrary process to your process list (I assume you mean the list under "Application" in the Exception policy in SEP 12.1) by selecting Application to Monitor. Alternatively, you can use the Add an Application to Monitor button in the application list (see below).
It may take some time until the application emerges in the process list since the client has to detect it and then send it to the SEPM during the next heartbeat interval.
Here is an image of a list with notepad.exe process as an example:
