It may be possible, but that depends a great deal on the how the Dynamics AX applications was designed. At the very least you will need to make sure the .Net Agent installation includes the Instrument All .NET Applications feature. Next, you will need to tell the .Net Agent to instrument the application. How that is done depends on whether or not Dynamics AX uses an app.config file.
If Dynamics AX has an app.config you can adding two appSetting's similar to:
<add key="NewRelic.AppName" value="MyCustomName"/>
<add key="NewRelic.AgentEnabled" value="true"/>
If Dynamics AX doesn't have an app.config you can update the instrumentation element in the newrelic.config found in %ALLUSERSPROFILE%\New Relic.NET Agent to look similar to:
<instrumentation log="false">
<applications>
<application name="MyService1.exe" />
</applications>
</instrumentation>