The run or display dialog allows you to execute the file or edit it which is
useful for scripts. I put scripts that I want to run in a folder in my home
folder. I use bin but it does not have to be that one. Then I go to System,
Preferences, Startup Applications and choose Add. I give it a name and type
in the command. You need to use the full line. However if it is a script you
need to use sh space (or./nospace) before the command. Perhaps you
are omitting this step.