First, be sure the permissions are set to give you execute priviliges.
Then, simply type the filename--if it is in a directory listed in $PATH. If not, type the absolute or relative path to the file.
Most commonly, for files not in $PATH, you will see "./filename" This means run filename here (in the current directory). Such an entry overrides the search in $PATH--thus you can have two files with the same name, and control which one runs by specifying the path.