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