Are you trying to install by typing the rpm name?
If so you have two problems.
(1) Linux (by defualt in most distros) does not include the current directory in the $PATH. You have to specify that the program is in the current directory with ./filename
(2) And RPM is not an install program (like setup.exe) its a package (like file.zip - but with lots more info).
Use the "rpm" program to install.
(U = install or upgrade, v = give lots of info, h = give progress meter)