Running an external executable?

I'm sure this question must come up a lot, but I get a "page not 
found" error when trying to search the mailing list archive, and I've 
just spent over an hour googling and found no solution (only other 
people asking the same question, but no responses).

Is it possible to run an external executable from the shell? If so, 
how? Typing the name of the executable as you would normally do in any 
other shell results in a "not found" error.

This is currently stopping me from being able to use tomsrtbt, which 
is a pity because it would otherwise be exactly what I need :-(

Thanks in advance!