How do I mark a file as executable via a GUI?

Simple Permissions Tab (default)

First, right click on your file and choose 'Properties'.

Switch to the 'Permissions' tab and then simply check the box that says 'Allow executing file as program'.

Advanced Permissions Tab

Just right click the file, choose "Properties" (at the very bottom), click in the "Permissions" Tab and add the executable option to the file, which may differ from this in the screenshot in a certain cases.

Sometimes I have found a "Make this file executable" option in certain kind of files.

You should be the owner of the file in order to perform this without a hassle. Take a look at this in order to change file/folder ownership: General Rules for dealing with File Permissions

Good luck!