Depending on where you put the binary, that's probably the issue. It's not in the sudoer's path, so you'll probably need to give an absolute path to it when launching it or cd into the directory first.
When you run the command try this next:
Where'd you get the binary from?
I am using a binary executable version of TrueCrypt because the last time I tried to "install" it, I didn't get a GUI icon for it anywhere. Is that supposed to happen, or am I just always supposed to type sudo TrueCrypt for the command prompt?????
Not exactly sure (never used it before), but it may be entirely possible that it doesn't have a GUI frontend. If you're being told to run it with sudo, it's probably a command-line utility...
Making menu items, depending on your graphical environment, is typically quite easy provided you have a suitable image that will work as an icon.
I'm compiling it as we speak to see what we're looking at. I'll get back to you later (gotta run to "the office" for a minute).