The most significant difference between Windows executables and Linux ones is that the Windows ones have an .exe extension, while Linux ones don't!

Generally, in Linux you run a program by calling it. In effect (although there may be some overlying GUI trickery going on) you're doing no more than typing (for example)

gimp

at the command line. This calls the gimp executable which lives in /usr/bin (actually, it's a symbolic link to gimp1.2, BWTH). You can even run it by clicking on the icon.

There's much more about this in rute

(if you have a HD install you can get it by doing:

apt-get install rutebook)

but a google will find it.