Whenever I want to run .exe files for Wine, or .java files, I get this error: "The file BLA BLA BLA is not marked as executable. If this was downloaded or copied from an untrusted source, it may be dangerous to run."

I right-click the file and go to permissions, but the check-box to mark as executable is not even there. What can I do to fix this? Also it would be nice to automatically make the files marked as executable, if possible. Thanks!

(Also, I DO have Java installed for the .java files.)