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You recompile the kernel if you have to in order to get some of your hardware to work. If you don't need to do that, you don't have to do it. You can do it anyway if you like, for a couple of reasons that I can think of:
(a) you can compile it specifically for your processor type - you may or may not get better performance out of it that way, and
(b) you just want to for the hell of it, and/or to find out how to do it.
Yes, .sh files are the Linux/Unix equivalent, but bash .sh scripts are way more useful than DOS batch scripts.
Dunno what a .run file is, some one else must answer that.
The equivalent to .bat files are shell scripts. There are different kinds of shells, you can use any one you like, or you can jump between them. The convention is that files ending in '.sh' are generally bash scripts, but it's not compulsory. Other shell script suffixes are '.tcsh' (T-shell) and '.csh' (C-shell).
'.run' files are generally binary (compiled) executables.
You would compile a kernel to customise and optimise it for your needs. Gaining a deeper understanding of how it works is another favourite reason.
For "how", use the search function on these pages. There is an excellent guide posted by 'DrOzz', so put that in the user name box and 'compile kernel' in the keywork box.
Spend a little time (hours or days, depends on you) getting familiar with the Linux environment first though.