You need to use chmod command which is use to change file access permissions as well as to setup an executable permission on file.
General syntax:
chmod +x file-name
For example to setup executable permission on a file called foo.sh (shell script):
$ chmod +x foo.sh
To execute file:
$ ./foo.sh
To setup executable permission on a binary file called bar:
$ chmod +x bar
To execute binary file:
$ ./bar
See also:
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