I thought I was giving more information on that (than Cerulean's admirably concise answer).
Seriously, I'm not sure what you mean. Some systems, like DOS's command.com, just look for a .bat, .com, or .exe file and run it no matter what it is. Type up a perfectly valid batch file and call it valid.foo and it won't run. Type up gibberish and call it an .exe and it'll try to run it.
With *nix, every file has a set of permissions - user, group, world, with each set getting read, write, execute permissions. (It's more complicated than that, but that's the core of it.) If you do a 'chmod 700' (or 'chmod u+x' or however it's done symbolically) it has the same effect to your shell as calling something 'bat' does to command.com.
Code:
~
1001>> echo echo hi > scriptwith.extension
~
1002>> scriptwith.extension
bash: ./scriptwith.extension: Permission denied
~
1003>> chmod 700 scriptwith.extension
~
1004>> scriptwith.extension
hi
1002's saying 'you don't have permission to execute this file' or, maybe more accurately in this case, 'this file doesn't have permission to be executed'.
Not sure what else to say.