In FCKeditor Developer's Guide, there is a page explaining how to custom the styles.

Any new styles I added to fckstyles.xml will be added to the "Style" dropdown menu, even if they are block level styles.

Say, I want to add an indented paragraph with borders, I add this to the fckstyles.xml:

<Style name="Boxed Paragraph" element="p">
    <Attribute name="class" value="boxed" />
</Style>

Then I add the follow css to my style.css:

p.boxed {
  padding:5px 20px;
  margin-right:10px;
  border:1px dashed;
}

Then refresh your browser cache to see the new style in the FCKeditor's "Style" dropdown.