Find out where the executable file is (if it's a game, try /usr/games or /usr/share or something). Move into this directory and then try running the same command, but with a ./ infront, so:
instead of typing gametorun try typing ./gametorun.
if this still comes back with 'command not found' then you need to set the attributes to the file so that it is executable.
If doing the above works, then you will need to set your paths to include the games directory.
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