Just for some background.
It is expected that the following commands fail:
bash OpenXcomEx
bash OpenXcomEx.desktop
The reason is that "bash" expects to run script files. The first is a binary, the second is a file which tells your GUI how to run the associated binary.
The ".desktop" file is a (quickly written) workaround for a known bug in linux desktop environments dealing with some forms of binaries as created by modern "gcc", it is *NOT* a fault of OXC(E).
The file is only necessary if you want to be able to run the program via double clicking from a file-manager application (shell as described by Meridian always work).