.nb files are documents and are open with help of Mathematica. Like for example a .txt file is open with a text editor. Once you open a .nb file you can run code inside it, because it also serves a interactive programming environment.

Hi Sam, thanks for the response. I understand that part. But what I do not understand is that how to run an entire .nb file. For eg., I downloaded the file GameofLife.nb. I could run individual commands doing shift+enter within a square bracket. I was not sure how to run the entire file. But I later figured out that there are bigger square brackets enclosing the smaller square brackets, and if skillfully manage to move the mouse pointer to select the square bracket higest in the hierarchy I am able to run the entire code. 

Is there a simple way of doing this? Why is there not a simple 'run/execute' button?

thanks. that helps.