How to run the executable(*.exe) file by double clicking on it, instead of running in Terminal

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http://stackoverflow.com – I need to run the executable file by double clicking.While double click the executable its asking below message "Myapp" is an executable file. Do you want to execute it? with option Executable Execute in Terminal Cancel Its running Fine when I press executable. How to run the executable without above message display? in linux. (HowTos)