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Software and software installers in Ubuntu need to be marked as "executable" in order to be treated as runnable programs. This indicates to Ubuntu that the file is actually software and is trusted. Normally and preferably software should be installed using the Ubuntu Software Center which is the primary source of software in Ubuntu.
You should only mark a file as executable via the file permissions if you know what you are doing.
Files from outside the supported software repository are not marked as "executable" since they did not get installed via a trusted source. Because of this, attempting to open/run downloaded files that are software will fail. These files are blocked for security reasons to help unsuspecting users avoid malware (i.e. malicious software like trojan horses, worms, and viruses).
Ubuntu Policy requires that software not marked as executable not be runnable. One of the most common ways you will see this is by having a package ship a .desktop file for a MimeType which executes the target file (.EXE, .JAR, etc). This is not allowed unless the target file is already executable (or installed by a trusted software repository).
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