Steps:

1) Put the jquery.jmpopups-0.5.1 in the static folder. It can be found at http://code.google.com/p/jmpopups/

2) Put the following lines into the web2py_ajax.html, BEFORE of the <script type="text/javascript"> tag:

<script src="{{=URL(r=request,c='static',f='jquery.jmpopups-0.5.1.js')}}" type="text/javascript"></script>

3) Put the following lines into the web2py_ajax.html, INSIDE the <script type="text/javascript"> tag:

$.setupJMPopups({
    screenLockerBackground: "#003366",
    screenLockerOpacity: "0.7"
});

function openAjaxPopup(name_popup, width, url) {
    $.openPopupLayer({
        name: name_popup,
        width: width,
        url: url
    });
}

4) Put the module widgetAddLink.py in the modules folder. The contents of the file is below:

#!/usr/bin/env python 
# coding: utf8 
from gluon.html import *
from gluon.http import *
from gluon.validators import *
from gluon.sqlhtml import *
# request, response, session, cache, T, db(s) 
# must be passed and cannot be imported!

class OPTIONS_WITH_ADD_LINK:
    def __init__(self,**parameters):
         self.parameters=parameters
    def __del__(self): pass
    def __call__(self,field,value):
        """
        example::
            db.main.product.widget = OPTIONS_WITH_ADD_LINK(T=T, r=request, c="product")

        When the form is rendered it shows a dropbox and a "add" link
        """        

        # Create a SELECT object
        select = OptionsWidget.widget(field,value)

        # Get the parameters
        request = self.parameters["r"] 
        a = request.application
        c = self.parameters["c"]
        T = self.parameters["T"]
        f = self.parameters["f"] or None #new paremeter either None or the name of the field to use           

        requires = select.attributes["requires"]

        # If is not the "IS_IN_DB" validator then can be that the line below fails 
        # because the requires can't have "ks" object        
        try:
            # Get the field name from the foreign table from validator IS_IN_DB
            if f is None:
                field_name = requires.ks[0]
            else:
                field_name = f #use the one we specified (because there was no "ks" object)
        except AttributeError:
            return select
        else:
            # Get the id from the SELECT object that allows adding an option
            select_id = select.attributes.get('_id', None)

            id = "%(tablename)s_%(fieldname)s" % {"tablename":field._tablename,
                "fieldname":field.name}
            popup_id = "popup_%s" % id
            width = 700

            # Build the URL responsible for opening a popup window in the same screen
            url= URL(r=request, c=c, f="create_popup",
                vars=dict(title_name=field.name,field_name=field_name, 
                        select_id=select_id))


            # Create the script that add the "Add" link after the SELECT object
            add_link = A(T("Add"), 
                                    _id="add_%s" % id,
                                    _name="add_%s" % id,
                                    _href="#",
                                    _onclick=("openAjaxPopup('%(name)s',%(width)d,'%(url)s')"\
                                        % {"id": id, "name":popup_id, "width":width, "url":url}),
                                    _title="Add")

            return DIV(select, " ", add_link)

def create_popup(request, table):
    """
    Create a popup with a form to register a new record
    """

    select_id = request.vars.select_id
    form_name = "form_%(name)s" % {"name":select_id}
    field_name = request.vars.field_name

    url_ajax = URL(r=request,f='validate_popup', 
        vars=dict(form_name=form_name, select_id=select_id, field_name=field_name))

    # Build the script responsible for submiting the form via ajax
    script_submit = SCRIPT("""jQuery('#%(form)s').submit(function(){ 
        jQuery.ajax({
                 type: "POST",
                 url: "%(url_ajax)s",
                 data: jQuery("#%(form)s").serialize(),
                 success: function(msg){jQuery('#message').html(msg);} });
        return false;
        });""" %  {"form":form_name, "url_ajax":url_ajax}  )

    form = SQLFORM(table, _enctype=None, _id=form_name,_action=None, _method=None)
    return dict(form=form,script_submit=script_submit,message=DIV(_id="message")) 

def validate_popup(request, table):
    """
    Validate the data from popup 
    """

    select_id = request.vars.select_id or None
    field_name = request.vars.field_name or None
    field_value = request.vars["%s" % field_name]

    form = SQLFORM(table)

    if form.accepts(request.vars,formname=None):
        script = "$.closePopupLayer();"
        if select_id:
            script_add_option = """$("#%s").append("<option value='%s'>%s</option>");""" \
                % (select_id, form.vars.id, field_value)
            script_select_option = """$("#%s").val("%s");""" % (select_id, field_value)
        return SCRIPT(script,script_add_option,script_select_option)
    elif form.errors:
        return DIV(TABLE(*[TR("%s %s" % (k,v)) for k, v in form.errors.items()]))

5) Put the popup.html in the views folder. The contents of the file is below:

<style type="text/css" media="screen">
    .popup {background:#FFF; border:1px solid #333; padding:1px;}
    .popup-header {height:24px; padding:7px; background:url("bgr_popup_header.jpg") repeat-x;}
    .popup-header h2 {margin:0; padding:0; font-size:18px; float:left;}
    .popup-header .close-link {float:right; font-size:11px;}
    .popup-body {padding:10px;}
</style>
<div class="popup">
    <div class="popup-header">
        <h2>{{=T("Create a %(name)s", dict(name=request.vars.title_name)) }}</h2>
        <a href="javascript:;" onclick="$.closePopupLayer()" title="Close" class="close-link">{{=T("Close")}}</a>
        <br clear="both" />
    </div>
    <div class="popup-body">
        {{=message}}
        {{=form}}
        {{=script_submit}}
    </div>
</div>

6) Import the module in your model (maybe db.py):

exec('from applications.%s.modules.widgetAddLink import *' % request.application)

7) Add this widget to some field that uses the validator IS_IN_DB. Example:

db.main.product.requires = IS_IN_DB(db,db.product.id,db.product.name)
db.main.product.widget = OPTIONS_WITH_ADD_LINK(T=T, r=request, c="product")

Note: The OPTIONS_WITH_ADD_LINK requires three arguments:

a) T object (the object T is the language translator)

b) Request

c) and the name of the controller responsible for add a new register to the field in the left side

d) f (field) is optional.

8) Import the module in the controller specified above, in the widget configuration (e.g. product.py):

exec('import applications.%s.modules.widgetAddLink as popup' % request.application)

9) Add the following two methods into this controller:

def create_popup():
    response.view='popup.html'
    return popup.create_popup(request, db.tablename)

def validate_popup():
    return popup.validate_popup(request, db.tablename)

Note: Replace db.tablename to the desired table. Example: db.product

Ready! This should work.

Issues known:

1) The record is added at the end of the list in the combo box. The widget does not reload the combo box object to sort it properly, just adds an item via jquery.