when you type the name of a program at the command line, Linux looks in one of a couple of locations, mainly it looks in /usr/bin. The directories that the command line looks in is called the PATH. WHen you type a command and it comes back "comand nor found" it means that the thing your are trying to start up isn't in the any of the locations on the PATH.
When you type ./ before a command or file name, it tells the comand prompt that you are telling it to look within the current working directory. So, if you open a terminal and type ./amsn then it probably means that either the executable part is in your Home directory or there is a sym link (sort of like a shortcut) there, that points to the actual executable part.
Thus, you could place a symlink in /usr/bin that points to the amsn executable, so that you could open a terminal and simply type amsn
As root, in a terminal type
ln -s /xxx/xxx/xxx/amsn /usr/bin
(replace xxx with appropriate dir's)