ok ... well just like anything else, if its a command you obviously have to type it in a terminal (i think you got too excited and asked this question without thinking) ... so i'll leave it at that ...
and i mean these questions are basically up to you to answer really .. like do i have to change directory? all i can say in relation to this is, if you put it in a folder for instance called /my/files then if you want to you can navigate to /my/files, and if you don't want to then type the whole path to the .run file located in /my/files to execute, so again up to you ...
and if its on a fat32 drive (which i assume is in the same machine as your linux box) then you will have to mount this drive ... so for instance, if the fat32 drive is /dev/hdb then you will make a mount point (make a folder) whereever you wish (most people put it in the /mnt folder) and then we'll assume you made the mount called /mnt/win_drive, so after you do make a mount point, then you will type something like :
mount -t vfat /dev/hdb /mnt/win_drive
to mount the fat drive and then navigate to it with
and then find the file and copy it to your home folder or wherever you wish to put it an example would be :
cp /mnt/win_drive/downloads/filename.run /home/whit/
any other questions don't hesitate to ask ..