Some preferences can be controlled from the Preferences dialog within the Arduino environment. Access it from the File menu in Windows or Linux, or the Arduino menu on the Mac.
Other preferences must be changed in the preferences.txt file. This file's location is displayed in the preferences dialog. It should be:
/portable/preferences.txt (when used in portable mode)
<Arduino IDE installation folder>
Only edit the file when Arduino is not running - otherwise your changes will be overwritten when Arduino exits.
The definitions that determine the contents of the Board menu are found in boards.txt in the hardware/ sub-directory of the Arduino application directory. The definitions for the Burn Bootloader menu are in the programmers.txt file in the same directory. To create a new board or programmer definition, copy an existing one, change the prefix used in the preference keys (e.g. "diecimila." or "avrisp."), and alter the values to fit your hardware.