Newbie question.

[Bumpurs, C. Shane]

I compiled a simple program 

#include <stdio.h>
void main()
{
printf("test");
}

compiled it via gcc or ecgs and it makes an a.out
I can rename a.out to whatever I want.
But when I try to run the thing in the shell it says it can't find it.
if I use xfm it displays the output in the shell that I run xfm from.
I'm used to DOS so what am I doing wrong?

Thanks

Shane