At least I think that's the problem....

I'm new to Linux, so perhaps this is an obvious newbie error, but nevertheless....

I downloaded a file to install a malware scanner. The installation instructions say to modify the file's permissions to make it executable, and then to double-click the downloaded file.

1. When I do that through Dolphin, after confirming that i want to execute the file, there's an error message:
Unknown error code 100
execvp: No such file or directory
Please send a full bug report at https://bugs.kde.org.

2. I've tried to execute it through Terminal (Konsole isn't working properly), but even though I cd into the download directory, every way I try to execute the file results in "No such file or directory"

What am I doing incorrectly?

You are probably trying to install a software that is not executable on Linux, was it really designed for Linux?