How do I run an executable file from a pendrive?

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http://askubuntu.com – I am trying to run Portable Truecrypt from a USB Pendrive. I already extracted the package and all but the only way it really opens Truecrypt is if the executable is on my home folder. It never works when the executable is on the pendrive. I have tried to go to permissions and set "allow to run as an application" but anyway when double-clicking, the same alert comes up: Unable to present media/Kingston/usr/bin/truecrypt, there is no application installed for executable files. (HowTos)