If you have an executable for Linux, you'll need to set the executable bit in order to run it. If you're using Ubuntu or the Gnome desktop, you'll usually be able to set it by right clicking on the executable, clicking "Properties" and checking the box for the executable bit. Alternatively, you can do it form the commandline with the command chmod 744 <filename>. Be sure that the executable is for Linux and is for your architecture. You should also be sure you have the apropriate libraries availible.
The recommended way to install software onto most Linux distro's is to use that distro's package management systems. (autamatic updates, automatic dependancy resolver, distro specific customizations).
you may use a program like "Wine", install via terminal or using the Ubuntu software center. this will create a windows virtual environment for executables files. do a right click on your .exe file and run it with Wine. Try it and let me know
I assume that when the OP said "I have executables for Linux", he means he has executables for Linux, not Windows. There does exist some software for linux where you'd install it with an installer as opposed to using the distributions software repo's. For example, Samsung printer drivers, or TrueCrypt.