To expand upon this:
In Windows, executable files end in .bat, .com, .exe, .pif. In Linux, and other Un*ces, they have to be set as an executable file - much like Windows can set files as hidden, system, etc, Linux has 'attributes' - one of which is executable. That is what the above chmod u+x file.bin command does - it sets the executable attribute for just the user (and so it is not executable by anyone else).
Now, under Windows, you can execute programs that are in your path by simply typing them. This is the same under Linux. However, under Windows, you can execute programs in the currecnt working directory by simple typing their name. Under Linux, if the program is not in your path, you need to tell it exactly where to find the program. For programs in the current working directory, you put a ./ (dot forwardslash) infront of the filename, so that's the second command ./file.bin
I hope this helps.