Ok, I will explain why it is that way.

On Linux (and other Unix* like systems like OS X), there is special path (saved in variable $PATH) from where you can start programs only by typing its name. This is for "standard" system-wide program (like vim, ls...). This path is usually /bin, /usr/bin, /usr/local/bin, but you can change your own $PATH to reflect your needs.

On the other hand, if you want to start program from directory you are actually in, you have to type "./program". Because "./" stands for "actual directory", so, you are actually saying "start 'program' from actual directory".

If you would like to start squeak only by typing "squeak.sh" and from anywhere, you could (but you shouldn't) copy it to /usr/bin, but better way is to change $PATH like:

export $PATH=$PATH:/path/to/one-click/squeak.sh

(this would be temporary. add this to file ~/.bashrc to make it permanent).

But I recommend to you not to use windows*like "starting programs, downloaded from Internet, from my home directory", but to use Ubuntu Software Center/apt-get/aptitude/whatever you like and download all programs from repositories.

Happy hacking,
Jan