Is the file saved somewhere in your home directory (or a sub-directory thereof)? If so, you should appear as the owner of the file if you check the permissions in Nautilus. If not, open a terminal and navigate to where the file is. Then, assuming your user name for your computer is "carl" and the name of the file is "foo.exe", the command you'd use is:
Originally Posted by CarlP89
You'll be prompted for your password. Then, you can right-click on the file name in Nautilus to check the permissions, and this time you should be able to check the box to "Allow executing the file as a program".
sudo chown carl:carl foo.exe