Try typing some lines in a text file (as you would in a console). For example, the instruction to copy a file from one location to another.
At the top of the file put this:
The file format will then be a bash script (regardless of the extension)... you might want to give it a .sh extension, but that's not needed.
To run it, type:
Alternatively, you can right-click on the file, and in the properties, check "allow this file to run as a program" (assuming you're on xfce). Or (same thing), change its permissions to allow it to be executable like this:
chmod a+x filename
Then you can run it by just typing its name on a console, or by double-clicking on it in your file manager.
I suppose this is similar to a .bat file in Windows.
Besides the scripts (for bash and the other languages that kidd mentioned), VL can execute binary files that have been compiled for your architecture (whatever the language they were written on). They are not named .exe . They usually have no extension at all. The file icon will tell you if it's a binary file. For instance, go to /usr/bin and you'll find lots of executable files there (for your applications). To see the file format of a file in a console type:
The file command we'll give you something like this:
/usr/bin/xcalc: ELF 32-bit LSB executable, Intel 80386, version 1 (SYSV), dynamically linked (uses shared libs), stripped
Hope this helps...