Go into the directory where ARM is sitting. Open the alliances.dat file in the text editor of your choice. After the ST line, you can add a new line with an arbitrary name followed by one tab and the airline codes.

That's the way I just did it, anyway. The poster who's designed this may have a better solution.

Edit: this was in response to a previous post, the relevant portion of which has since been deleted. These are instructions for adding a new alliance that ARM can display.