What program is it????
From your desktop environment (KDE, Gnome or whatever), you can press Alt-F2, or go to the menu and choose "Run Application". Simply type the name of the program, and press OK. You may need to specify the full path to the program.
From bash, simply type the programs name if it is located in your $PATH. Otherwise, type the full path to the program, or change to the directory it is in and type "./programName".
There is no subsitute for playing around with your system, and check out some of the newbie guides available on the web, such as This
I hope this helps