You need to replace <filename> with the name of the executable you downloaded.
For example, if the game is called "andromata" and when you download it and unzip it, you see a file called "andromata", your command should be like this:
chmod +x andromata
and then to run
./andromata
EDIT: What is the game?
Sorry, but 700 MB to download is not something I can afford just to have a look at the files.
If the game is called "nix", then the executable is probably called "nix" too.
I saw that you asked on the page and I see that the author usually answers, so you better be patient and wait for the author to answer you.
Good luck.
