There is no way to add a new configuration for an "unsupported application" via the 3DxWare GUI. You have to edit a config file with notepad. An unsupported application is defined as an application you just want to blindly throw keyboard events at.
If you are game, here are the steps:
1) Stop the 3DxWare driver.
2) Make a copy of any.scg, called, say Lightroom.scg. Any.scg is under a language-specific directory under the 3DxWare directory. Make the copy there.
3) Edit Lightroom.scg with notepad.
4) Change the APPLICATION_NAME value to "Lightroom"
5) Change the EXECUTABLES value to whatever the executable name is, probably "lightroom.exe".
6) Change the TRANSPORT_PROTOCOL value to WIN32_KEYBOARD.
7) Save the config file.
Since you've probably already tried to use the application with the driver, you probably already have an erroneous entry in the registry. Delete the HKCU/software/3dconnexion/3dxware/Applications/LIGHTROOM.EXE value that probably points to something like any.scg.
9) Restart the 3DxWare driver.
10) Start Lightroom. The driver should choose your new Lightroom config.
11) You can now make keyboard macros and assign them to buttons in the Lightroom configuration with the 3DxWare GUI.
3Dx Software Development