Yeah the typical way programs are run is by using a .desktop file that's installed. The reason nobody cares is because running random executable that have a GUI is a pretty rare use case for Linux desktops. We don't have wizards or .msi installers, we just install using the package manager. And then it shows up where it needs to.

If you're on KDE, you can right-click the start menu and add the application. Also, right-click menu should give you a run option.