HI,
This entry may be useless for people who are using UBUNTU for a while now. But still i am writing this for the newbies 
you can assume these files to be like .exe in linux flavour. To install a run file follow the steps
1) Open terminal window ( Applications>Accessories>terminal)
2) Browse to the run file which you want to install
3) Type ./nameoffile.run
4) It may give you error that it requires root credentials, then please type sudo .nameofile.run
That should solve the purpose 
cheers !!
Realin !
