After you compile it, since it's a command line program you have to run it from command prompt.
And some of them are scripts, which you also just run from the command line. You must, of course, have the script processor installed first (i.e. if its a PHP script, go get & install PHP first. Same with Perl and Python). Bash scripts (script.sh) obviously need to be run in Linux. Options and commands vary by exploit, just read the code to find out what to put.
Do you want to turn on Sticky Keys?