Continuing on what merchtemeagle said, $PATH contains a colon-separated list of all the directories linux by default looks in when you type the name of an executable.
You can find out if "." (i.e. whatever directory you're currently in) is in your $PATH by doing
echo $PATH
Example:
[lthurber@hostname ~]$ echo $PATH
/usr/local/bin:/usr/bin:/usr/X11R6/bin:/bin:/usr/games:/opt/gnome/bin:/opt/kde3/bin:.:/opt/IBM/director/bin:/opt/gnome/bin:/sbin:/home/lthurber/java/bin:/usr/local/ant/bin:/home/lthurber/projects/citicom/build/dev:/usr/java/bin:/usr/local/ant/bin:/home/db2inst1/sqllib/bin:/home/db2inst1/sqllib/adm:/home/db2inst1/sqllib/misc
If you look closely you can see that I do in fact have . in my path - right there between /opt/kde3/bin and /opt/IBM/director/bin
If it is there (as it usually will be, for a regular user) you won't have to type the ./ to run a program in your current directory.