With this .run file remember you need to be in the same directory as the file, i.e. do: "cd <directory name>", till "ls" shows you do file.
You may also need to make it exectutable: "chmod u+x ufoai-2.2-linux.run".
Another thing is the case sensitivity of *nixes, it does matter wheter you use capital letters or not.
Last but not least, you run things in the current directory by preceding the name with "./" on most distributions, so: "./ufoai-2.2-linux.run".