run command in the terminal window
 

start the program by running: ./u1_downloader is the question, but i don't know what the run command is. Is it just run then u1_downloader or is it something else

Nope, type it in as-is - incuding the dot-slash as first 2 characters - then hit Enter

Have a look at this for some overview. There has to be better intros though - search "linux command line tutorial" aybe.

You may want to bookmark and read through http://rute.2038bug.com/index.html.gz