Linux is like a honey badger and honey badgers don't care. Especially about file extensions :)
It's hard to tell whether this is a developer's fault without more info. It looks like you're running something that didn't come as a package that's part of Ubuntu. This could be statically or dynamically linked against some libraries.
You can find out by running:
if this is script as opposed to a binary, you need to find what's the actual binary it executes by looking at it.
This is important since "statically" means you probably don't have to install any dependencies to be able to run it. Dynamically means that your system needs to have certain libraries installed before you can run the binary.
If it's a binary, you can find out if it's a dynamically or statically linked by running
Example of a dynamically linked binary:
linux-vdso.so.1 => (0x00007fff631ff000)
libtinfo.so.5 => /lib/x86_64-linux-gnu/libtinfo.so.5 (0x00007fed8fe35000)
libdl.so.2 => /lib/x86_64-linux-gnu/libdl.so.2 (0x00007fed8fc31000)
libc.so.6 => /lib/x86_64-linux-gnu/libc.so.6 (0x00007fed8f871000)
While a statically linked binary would show something along the lines:
not a dynamic executable
One other thing to keep in mind - if you're clicking the file in order to execute it, if it crashes, or just terminates, you won't know what caused it since you don't see the output.
You could try opening a terminal, entering the directory where you have this binary, and running it with
./file.x86. The './' is important here since it means 'in the current directory'. This way you can see any error or informational messages when it terminates and possibly there's some hint about what you need to do in order to make it work.
In other words, check your game's requirements.