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When I double click TheOoze_Linux.x86 in Ubuntu 16.04 it says:

There is no application installed for "executable" files.
Do you want to search for an application to open this file?

Other executables run just fine, I'm not sure what's wrong with this one.

Hopefully this won't necro everything, but...

The issue is that the executable flag isn't set. you can right click the file, go to properties, then permissions, then enable execution

For a more "global" solution that'll work, you can cd into the directory and use chmod u+x <filename> to enable it