Should be the same thing, yes. In that case, ToomanyIDs is probably right, and its a file association problem.
If you still feel like pursuing this (I'd be curious), what if you open a terminal window, navigate to where the game is installed (e.g. $ cd "~/Games/DoraKone/" or something), and try to run in from there: $ ./DoraKone.sh. That's essentially also what ToomanyIDs suggested.
Usually, on modern Linux distros, you can find the terminal by just searching for an application named "Terminal". Or browse through your start menu - if you still have one.
If you don't wanna try that (because too much work), it's also fine. :)