Dreamweaver CS5.5 has conveniently packaged all the various settings required to define an app in a single dialog. These, range from technical information required by Apple and/or Android to choosing which image to use as an application icon, or in the startup screen (those images are optional).
Of course, the actual content of the app is defined by the mobile-friendly web page you design. However, the properties in the Mobile Applications dialog define elements of the app beyond the page content.
Note
Before launching the Mobile Application Settings dialog, you must have the page open that is to be exported to an app. Yes; I said the page, not the pages. As I think will be clear at this stage of the process, all the content that is to be exported into an app has to be on a single HTML page, even though that page can have multiple jQuery Mobile "pages" within it.
So, with your page open and saved select Site | Mobile Applications | Application Settings....