The directory where the executable is, that is the same one you have extracted from the archive (i.e.: MDRG0.86.3 - Linux).
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Yes, chmod is a shell command that let you change mode flags and access permission of a file. The +x indicate to the command to make the specified file executable.
Says it’s a read only file
In that case, add sudo (substitute user, do) before chmod to make it run with administrator permissions (a password may be required).