You will first need to have your Martian Notifier paired to your iPhone, and the app should say "App and watch are connected"
Ensure that your apps are made to push notifications.
Once you have that set up, with the watch paired and app running in the background of your iPhone, wait for the first notification from that app.
Now, each time an app that is not on the list pushes its first notification after the watch is paired, it will be listed in the Alerts Filter page, and you will be able to customize it.