As in UNIX, when you try to run a file, the shell will search directories listed in the PATH environment variable for a file of that name. It will not look in the current directory unless you have a . , representing the current directory, in your PATH .
Example:
PATH=c:\mks\mksnt;.;c:\winnt\system32
If you do not want to add a dot to your path then you can still run your scripts without specifying the full path using this syntax: ./script.ksh . |