Hi
First, you must create the problem type comprising of
*.prb = Problem type
*.mat = material file
*.cnd = condition file
*.bas = Template file
*.bat = Batch file
and your .exe. Then, copy all of them to program files\GiD\Problemtypes\Your Folder
For the syntax and meanings of those files, you can find in GiD's user guide. They also provided basic examples in which you can follow and get used to. I suggest you subscribe to gid maillist;there you will find GiD experts from CIMNE and the development team who will support you in any GiD stuffs.
Good luck