I am having problems when opening .exe files. If I select open with xTerm it works fine but if I simply click it doesn't open (I have already added xTerm to preferences).
I have found that in my system monitor the path of the file appears like an application when I click it. (Something like "/home/my user name/the folder where the file is/the .exe file name" and like 130KiB memory usage).
Last, there used to be a warning prompt when I clicked on those files but I disabled it (there was like a "don't show again" box). I would like it back if possible.
It is a console program or does it have a GUI? If it is console program and you click on it that won't open a console. That will just run the program. Depending on what the program does it may just end or it may just be running in the background.
When writing console programs in Linux the common approach would be to run them from a terminal.
You can create a .desktop file that will launch them in a terminal but for a simple program you are writing for yourself that doesn't make much sense.
