If the first character is a dot, this is a synonym for the source command. The source command runs the script in the same shell instead of the launching a subshell. This is done for configuration scripts like the scripts in /etc/sysconfig/ and for you shell start up scripts, because then you can set variables in you script.
It is normal not to have the current directory, "." in your PATH variable, so to launch a program in the current directory you can precede the command with "./". You could also launch a script in the current directory like this: sh scriptname, or by using the full pathname. /home/username/scriptname.