The Window menu is built into the Workspace Manager, and ordinarily is not customized. To keep window behavior consistent between applications, you should avoid extensive modification to the Window menu.
Open the appropriate file for editing:
Personal: HomeDirectory/.dt/dtwmrc
System-wide: /etc/dt/config/language/sys.dtwmrc
For information on creating these files, see Workspace Manager Configuration Files.
Create the new menu:
Menu menu_name { … }
Use the windowMenu resource to specify the new menu:
Dtwm*windowMenu: menu_name
Choose Restart Workspace Manager from the Workspace menu.