well, the dot (.) means the currnet directory, so if you put a ./ means usually your are going to issue a command in the current directory that you are in. (forexample) ./install.sh or cat ./notes and so forth, also, there are script files that you run usually when you do a ./configure, and ofcourse that script file is usually the "configure" file.
When do you have to use that command?
Well, check your Readme when you want to install a program, it usually gives you instructions on how to install it, and often comes with a configure file.