There is no application installed for executable files

You have probably forgotten to make the unetbootin file executable.

Right click on unetbootin-linux-583, click on Properties, choose the tab Permissions. Check the small square Allow executing file as program.

Now double click unetbootin-linux-583 and fill in your password.

You can also do it through the command line. Open a Terminal with Ctrl + Alt + T and type:

cd /path/to/unetbootin
chmod +x unetbootin-linux-583
./unetbootin-linux-583

Finally, fill in your password.

Go in the software center and download wine. Then, download the windows version of unetbooting and run it with wine! Profit!