Files we will be working with: 

Location: Data/INI 
Campaign.INI 
ChallengeMode.INI 
PlayerTemplate.INI 

Location: Window/Menus 
ChallengeMenu.WND 

You already have your own General with all the INI's of his/her units, structures, etc. completed. Now you want to be able to select your own General on the Generals Challenge Selection Map (GCSM). 

Open up PlayerTemplate.INI and have a look at the existing factions already there. Most of these parameters are self-explanitory. Copy a piece of code from one of the Generals and modify it to suit your needs. 

PlayerTemplate FactionAmericaAirForceGeneral 
  Side              = AmericaAirForceGeneral 
  BaseSide          = USA 
  PlayableSide      = Yes 
  StartMoney        = 0 
  PreferredColor    = R:0 G:0 B:255 
  IntrinsicSciences = SCIENCE_AMERICA 
  PurchaseScienceCommandSetRank1  = AirF_SCIENCE_AMERICA_CommandSetRank1 
  PurchaseScienceCommandSetRank3  = AirF_SCIENCE_AMERICA_CommandSetRank3 
  PurchaseScienceCommandSetRank8  = AirF_SCIENCE_AMERICA_CommandSetRank8 
  SpecialPowerShortcutCommandSet  = AirF_SpecialPowerShortcutUSA 
  SpecialPowerShortcutWinName     = GenPowersShortcutBarUS.wnd 
  SpecialPowerShortcutButtonCount = 11 
  DisplayName       = INI:FactionAmericaAirForceGeneral 
  StartingBuilding  = AirF_AmericaCommandCenter 
  StartingUnit0     = AirF_AmericaVehicleDozer 
  ScoreScreenImage  = America_ScoreScreen 
  LoadScreenImage   = SAFactionLogoPage_US 
  LoadScreenMusic   = Load_USA 
  ScoreScreenMusic  = Score_USA 
  ;HeadWaterMark    = SCTempSelectPortrait ; don't use unless we add a "generalshead for non selected generals 
  FlagWaterMark     = WatermarkUSA 
  EnabledImage      = SSObserverUSA 
  BeaconName        = MultiplayerBeacon 
  SideIconImage     = GameinfoAMRCA 
  GeneralImage      = USA_Air 
  OldFaction        = No   ; This faction was NOT available in the original Generals and should NOT be available if the oldFactionsOnly flag is set 
  ArmyTooltip       = TOOLTIP:BioStrategyLong_Pos0 
  Features          = GUI:BioFeatures_Pos0 
  MedallionRegular  = AirGeneral_slvr ;<----- Icon for this General on the GCSM. 
  MedallionHilite   = AirGeneral_blue 
  MedallionSelect   = AirGeneral_orng 
End  


Also, where it says GUI:Whatever, you can edit that in CSF or String formats. Strings are usually easier, since they don't require the use of a CSF editor. 

Now open up ChallengeMode.INI. You will see all the generals used for the Generals Challenge. Keep in mind, that you can't have GeneralPersona12. Use numbers 0-11 ONLY. So if you want to keep the existing Generals, the most you can add is 3 more. You can achieve this by using the piece of code for the boss general and 2 that EA didn't finish. Originally, there were supposed to be "Boss" Generals for each faction, but only the Boss General for China got put into the game. Copy a piece of code from one of the Generals and modify it to suit your needs once again. Same goes for parameters - self-explanitory. 
  
GeneralPersona0 
    PlayerTemplate = FactionAmericaAirForceGeneral 
    StartsEnabled = yes 
    BioNameString = GUI:BioNameEntry_Pos0 
    BioDOBString = GUI:BioDOBEntry_Pos0 
    BioBirthplaceString = GUI:BioBirthplaceEntry_Pos0 
    BioStrategyString = GUI:BioStrategyEntry_Pos0 
    BioRankString = GUI:BioRankEntry_Pos0 
    BioBranchString = GUI:BioBranchEntry_Pos0 
    BioClassNumberString = GUI:BioClassNumber_Pos0 
    BioPortraitSmall = PAAirGen_S 
    BioPortraitLarge = PAAirGen 
    PortraitMovieLeftName = PortraitAirGenLeft 
    PortraitMovieRightName = PortraitAirGenRight 
    DefeatedImage = PAAirGen_L 
    VictoriousImage = PAAirGen_W 
    DefeatedString = GUI:BioDefeatedEntry_Pos0 
    VictoriousString = GUI:BioVictoriousEntry_Pos0 
    SelectionSound = Taunts_Grainger009 
    PreviewSound = Taunts_GCAnnouncer07 
    TauntSound1 =Taunts_Grainger061 
    TauntSound2 =Taunts_Grainger062 
    TauntSound3 =Taunts_Grainger063 
    WinSound =Taunts_Grainger064 
    LossSound =Taunts_Grainger065 
    NameSound = Taunts_GCAnnouncer14 
    Campaign = CHALLENGE_0 ;<----- IMPORTANT! This determines what challenge you will play once you select your General. To determine this, look at Campaign.INI 
  END  


The last part is the trickiest of all, mainly because a lot of people aren't familiar with WND files, but once you know what you're doing, you will see how easy it is. With this in mind, open ChallengeMenu.WND and have a look. Be very careful around WND editing, just like with INI's. One mistake or a typo and there is a high possibility of the game crashing or not even launching. 
Now it may look a bit confusing at first, but not to worry, soon enough everything will click into place. When the click is heard, yo will be quite happy and proud of yourself. 
Anyways, search the file for "Position0", "Position1", "Position2" and so on through 11. Remember, there is no such thing as "Position12" and never will be, because the game will crash if you use any number more than 11. As far as we're concerned, there is no such number as 12  
These positions actually represent each of the icons on the GCSM. Position 0 is the same as Persona0 in ChallengeMode.INI, which is General Granger, the Air Force General. Same goes for all the other 8 Generals. Now then, to add your own General select icon, copy any piece of code where it says GeneralPosition#. I use Position0 here: 

CHILD 
          WINDOW 
            WINDOWTYPE = PUSHBUTTON; 
            SCREENRECT = UPPERLEFT: 152 198, ;<----- Coordinates for Upper Left portion of icon 
                         BOTTOMRIGHT: 179 225, ;<----- Coordinates for Bottom Right portion of icon 
                         CREATIONRESOLUTION: 800 600; 
            NAME = "ChallengeMenu.wnd:GeneralPosition0"; ;<----- Use 0-11 ONLY. Must match this number to the persona number in ChallengeMode.INI 
            STATUS = ENABLED+IMAGE+RIGHT_CLICK+CHECK_LIKE; 
            STYLE = PUSHBUTTON+MOUSETRACK; 
            SYSTEMCALLBACK = "[None]"; 
            INPUTCALLBACK = "[None]"; 
            TOOLTIPCALLBACK = "[None]"; 
            DRAWCALLBACK = "[None]"; 
            FONT = NAME: "Arial", SIZE: 8, BOLD: 0; 
            HEADERTEMPLATE = "LabelSmall"; 
            TOOLTIPDELAY = -1; 
            TEXTCOLOR = ENABLED:  254 254 254 255, ENABLEDBORDER:  0 0 0 255, 
                        DISABLED: 192 192 192 255, DISABLEDBORDER: 64 64 64 255, 
                        HILITE:   3 196 0 255, HILITEBORDER:   0 66 4 255; 
            ENABLEDDRAWDATA = IMAGE: NoImage, COLOR: 255 0 0 255, BORDERCOLOR: 255 128 128 255, 
                              IMAGE: NoImage, COLOR: 255 255 0 255, BORDERCOLOR: 254 254 254 255, 
                              IMAGE: NoImage, COLOR: 255 255 255 0, BORDERCOLOR: 255 255 255 0, 
                              IMAGE: NoImage, COLOR: 255 255 255 0, BORDERCOLOR: 255 255 255 0, 
                              IMAGE: NoImage, COLOR: 255 255 255 0, BORDERCOLOR: 255 255 255 0, 
                              IMAGE: NoImage, COLOR: 255 255 255 0, BORDERCOLOR: 255 255 255 0, 
                              IMAGE: NoImage, COLOR: 255 255 255 0, BORDERCOLOR: 255 255 255 0, 
                              IMAGE: NoImage, COLOR: 255 255 255 0, BORDERCOLOR: 255 255 255 0, 
                              IMAGE: NoImage, COLOR: 255 255 255 0, BORDERCOLOR: 255 255 255 0; 
            DISABLEDDRAWDATA = IMAGE: PlayerStartDisabled, COLOR: 128 128 128 255, BORDERCOLOR: 192 192 192 255, 
                               IMAGE: NoImage, COLOR: 192 192 192 255, BORDERCOLOR: 128 128 128 255, 
                               IMAGE: NoImage, COLOR: 255 255 255 0, BORDERCOLOR: 255 255 255 0, 
                               IMAGE: NoImage, COLOR: 255 255 255 0, BORDERCOLOR: 255 255 255 0, 
                               IMAGE: NoImage, COLOR: 255 255 255 0, BORDERCOLOR: 255 255 255 0, 
                               IMAGE: NoImage, COLOR: 255 255 255 0, BORDERCOLOR: 255 255 255 0, 
                               IMAGE: NoImage, COLOR: 255 255 255 0, BORDERCOLOR: 255 255 255 0, 
                               IMAGE: NoImage, COLOR: 255 255 255 0, BORDERCOLOR: 255 255 255 0, 
                               IMAGE: NoImage, COLOR: 255 255 255 0, BORDERCOLOR: 255 255 255 0; 
            HILITEDRAWDATA = IMAGE: NoImage, COLOR: 0 255 0 255, BORDERCOLOR: 0 128 0 255, 
                             IMAGE: NoImage, COLOR: 255 255 0 255, BORDERCOLOR: 254 254 254 255, 
                             IMAGE: NoImage, COLOR: 255 255 255 0, BORDERCOLOR: 255 255 255 0, 
                             IMAGE: NoImage, COLOR: 255 255 255 0, BORDERCOLOR: 255 255 255 0, 
                             IMAGE: NoImage, COLOR: 255 255 255 0, BORDERCOLOR: 255 255 255 0, 
                             IMAGE: NoImage, COLOR: 255 255 255 0, BORDERCOLOR: 255 255 255 0, 
                             IMAGE: NoImage, COLOR: 255 255 255 0, BORDERCOLOR: 255 255 255 0, 
                             IMAGE: NoImage, COLOR: 255 255 255 0, BORDERCOLOR: 255 255 255 0, 
                             IMAGE: NoImage, COLOR: 255 255 255 0, BORDERCOLOR: 255 255 255 0; 
          END  


Just to be clear, the start of the code for this button (icon) is CHILD and finish is at END. 

This is basically your icon on the Generals Challenge selection map. Play around wih the coordinates and you will see that the icon also moves on the GCSM. To get exactly where you want the icon to go, I personally use the GenDev cameo mapper, because it tells you the coordinates really and it is very simple to use. Special thanks to Mastermind2004 for that tool. 

You are done. Now you can select your own custom General on the map, and can go challenge other generals with him. That should be fun and exciting.