In some instances, you must put a ./ in front of the file that you wnat to execute. THe reson is vecause the directory you are trying to execute the file from is not in your path. So, for example, you want to execute joe.exe. From the command line, type:
./joe.exe
Also, if you are installing something, typically these programs are going to want to install files into a directory that users do not have access to so you will want to be root to do this. Once you have the terminal open, just login as su, or super user.
su
<password>
Then run the executable. If it's a tar or gunzip, after extracting them, you should be able to do a ls and see what you have in the directory they got extracted to. A lot of programs that you download are set up to be compiled. So from the terminal type the following:
./configure
./make
./make install
Hope this helps.