Apple - How to add a quick-launch icon in my Dock for a program I've downloaded?

You can use AppleScript to make a .app file for this (That is the only file type that can go in the left side of the dock). It is in /Applications/Utilities/AppleScript Editor and when you make a new file you can put in do shell script "/Applications/apache-jmeter-2.11/bin/jmeter". I do this all the time for shell scripts, so I can access them easily. Then you can save and choose "app" near the bottom of the Save sheet. This will create an app file that you can put in, say, the folder above bin which can be dragged into the Dock.

tell app "Terminal"
    activate
    do script "/Applications/apache-jmeter-2.11/bin/jmeter"
end

is what you will need if jmeter writes to the terminal.

When you launch it does it show an icon in the dock? If not it may be a command line program that is running inside terminal. If that is the case there are ways to make an Applescript/Automator wrap-around that will launch command line applications that should give you a dock icon.

Having never done this myself, however, I am afraid you will have to do some googling, but hopefully this points you in the right direction.