Please read: https://medium.com/@peey/how-to-make-a-file-executable-in-linux-99f2070306b5
After reading that, please note that right-clicking on any file->Properties->Permissions->check box “Allow executing file as program” allows any file to be executed.
If you are looking to run Windows programs, see: How to install and run Windows apps
Regarding your comment on security, please read: https://www.computerworld.com/article/3252823/why-linux-is-better-than-windows-or-macos-for-security.html