In windows (as in Linux) you can either run a program though a GUI interface or from a shell environment.
The GUI option is a program called Explorer, you navigate through the file system and double click executable files to run then. Executable typically have the extension '.exe' or '.bat', but there are others.
The shell environment in windows is called the 'command prompt', you can run it by going to the start menu and selecting 'run' or simply press the windows key and 'r' simultaneously. A box will popup, type 'cmd' (without the quotes) and hit enter - the command prompt should open. From there you can navigate the file system using commands like 'cd'. To run your executable type the name of the file (it should work with or without the '.exe').
A nice shortcut to open the command prompt already at a particular path, is to browse to the folder in Explorer, hold shift and then right-click the folder - the resulting context menu that pops up should have an option like 'open in command prompt'.