Windows will check the current directory for an executable, Unix doesn't. Hence you have to put ./ in front of anything in your current directory you want to run (this includes programs and shell scripts). Unless the "current directory" is already in the path of places it checks.
As for autoexec, there are ways of doing that through the GUI interface. One way also is to use cron (chronometer) which lets you run things periodically. One option with cron is to run a program/script at reboot time. Try:
man 5 crontab