Actually this only works if a) you have set the executable bit on that file and b) the file is placed somewhere in the path (~/bin or /usr/local/bin are good choices). Some systems have the current directory (.) as part of the $PATH but this is a bad idea for security reasons (you could end up running a program different from the one you thought because it happens to have the same name). The method recommended by Aristotle is the more typical usage.

Update Sorry if this sounds harsh. I just said it because someone not familiar with Unix might try running a Perl program that way and not understand why it doesn't work.