You don't run the .exe on Ubuntu. (Edit: unless you have Wine of course)
Open the folder in your terminal and execute the shell script!
Navigate to the game's folder in your terminal and type in:
./DDLC.sh
If you want this to be clickable like an .exe, follow this guide: https://askubuntu.com/questions/465531/how-to-make-a-shell-file-execute-by-doubl...