When opening the terminal, it starts in the “home” directory of your user, which is usually in /home/*username*/. The error that you get (No such file or directory) is because you have to “change directory” to the one where the file sits in.
Think of changing directory, like opening a folder in windows, and now you “are” inside that folder. So when you type any command, like ./itch-setup, it will search for the file itch-setup in the current directory.
So before you type the command chmod +x itch-setup && ./itch-setup, you would need to first user the cd command (change directory) to move to the Downloads directory. You can do this using this command:
cd Downloads/
You can confirm what your current directory is, using the command pwd (print working directory), it should output something like:
/home/username/Downloads
Now you can run the command to run the Itch app:
chmod +x itch-setup && ./itch-setup
This will help you run the Itch app, but it is not a solution to run games. Each game is configured differently by its developer, so each game has a different way of handling dependencies. Depending on the distro that you use, you would need to download the right dependencies. The best way to find them is to check the page of that game, hopefully the developer would have listed what steps you need to make to run their game.
Alternatively you can find what dependencies are missing from an executable, but that’s mostly for more advances users.
If you can’t run a game, I would suggest contacting the developer of that game, explaining your issue with as much detail as possible. The issue that you are having might be an issue many more users are having, that will simply give up and move to the next game, so any feedback you give to the developer is very valuable.
Hope that makes sense, let me know if you are having any more trouble with the terminal.