I have file preferences set to 'ask how to execute the file', and the file has permission to run as a program.
However, when I double-click on the file and click 'Run', it doesn't run... it lags up my computer, but no matter how long I leave it, the screen stays the same and no other windows pop up.
The file in question is Firestorm (a SL viewer) that doesn't need to be installed, as stated in the Readme file ("The Firestorm Linux client can entirely run from the directory you have unpacked it into - no installation step is required.").
This also happens when I try to run windows programs with Wine (not sure if that helps or not, but same issue).