Everytime I try to run an executable file, by typing it's name, I get the message: "bash: <filename>: command not found"

I really have no clue what to do, please help.

K, found it (I always find answers after i've asked questions... ), just preceding it by ./ did the trick

./ is a shortcut for current working directory.

linux unlike windows will only use the path environment when searching for a command.
To see the path environment for your user:

echo $PATH

You would be amazed at the number of threads you can find that I started where I fnid the answer after asking the question. Seems like as soon as you post you figure it out, thats why I always post.