Cannot run program off usbflash on Ubuntu 10.10

I've never encountered this on any distro before. Ubuntu does not let me run a program off a usbflash drive. For example when I try:

./HelloWorld

it gives:

bash: ./HelloWorld: Permission denied

and when I try:

sudo ./HelloWorld

it gives:

sudo: ./HelloWorld: command not found

so I try:

sudo chmod 777 HelloWorld

but it shows the permissions as:

-rw-r--r--

The usbflash is formatted as vfat. Is there any execute the progam off the usbflash without having to copy the program to every hard drive and change permissions there then delete it?