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6.2. I double-clicked on an .exe file, but the system said "The file foo.exe is not marked as executable..."

If the dialog says "Read about the executable bit", with a hyperlink, try clicking on the hyperlink and reading about the executable bit.

If the file is on your hard drive, right-click it, choose Properties / Permissions, and check "Allow executing file as program".

If the file is on a CD-ROM, you can run it from the commandline as described above. Or, if you know how to use 'mount', remount the cd-rom to mark all files as executable with a command like  mount -o remount,mode=0777,exec /media/cdrom but using the real mount point if it's different from /media/cdrom.