I sincerely hope I am not doing the OP a grave injustice by wondering if he thinks an RPi can run programs written for computers which have MS Windows as the OS.
That crossed my mind as well....
For the OP...
What you do is to open the "Terminal" window. That works very much like the "Command Prompt" or "DOS Box" (depending on which version of Windows you are used to). Within the terminal, you will have a prompt at which you type toe command you want to run. If the executable for the command is not in any of the known path directories, you will have provide a path to it--either relative to where you are, or absolute within the file system, or change to the directory where the executable resides. Note that your home directory (typically /home/pi) is *not* in the path, but you can use "./<commandname>".
The second thing to be aware of is that you need *permission* to run the program. Do the command "ls -l" against the directory that contains the executable file. Look for "x" in relevant places in the permissions set. If there are no x's, then no one can run the command.
Third...as is being noted, you can only execute commands that are (a) complied to run in a Linux environment,and (b) compiled to run on an ARMv6 processor. Programs compiled for Windows and/or x86 processors simply won't run (unless you're using some form of simulator that provides the system interface environment and/or instruction translation it needs).
If any of the above concepts are unfamiliar, I suggest asking about them in the Beginners forum, where they will be explained at length.