Generally speaking, a job will execute a program, which can be either a PL/SQL block, a stored procedure, or an operating system executable. The programs tab displays information from DBA/ALL_SCHEDULER_PROGRAMS.
In the above example, the user SYS owns programs that execute Oracle-defined packages and other programs with an anonymous block, whose code you can see by hovering over the Action column.
By right-clicking on the grid, you can define or drop a program.
In this example, the program would be an anonymous block. If you wanted to execute a stored procedure instead, program action would be the procedure's name, optionally including the owner and package name.
For an executable file, you would enclose the full path to the executable in quotes.