Is ./ (dot slash) a command?
./ is not a command. The command is ./truecrypt-7.2-setup-x86.
Your shell and programs like sudo will treat a command as a pathname when it contains at least one / character. Since . represents whatever directory you are currently in, ./truecrypt-7.2-setup-x86 names the file truecrypt-7.2-setup-x86 in the current directory. If there is no such file, or there is but the file cannot be run, then you will get an error message.
When a command does not contain a slash, the directories listed in $PATH are searched for it, as Sergiy Kolodyazhnyy says. The current directory is not automatically searched--and it is not recommended to put . in $PATH. That way, you don't accidentally run things you didn't expect to run because you happened to have cdd to a directory that contains them.
Writing ./ before the name of an executable in the current directory the common way to run it, but this is not actually a special syntax. For example, if you messed up your $PATH and you needed to run a command like ls, you could write /bin/ls. No . is necessary in that case or in general; what's needed is a / somewhere in the pathname to signify that you mean it is a pathname.
Since . is always the current directory and / is just the directory separator, the first thing to do is check that the file you've named really exists in the current directory. (If it does, then check its permissions, as Charles Green explains. But if you extracted the file from an archive, then it usually will already have executable permissions if it is intended to be run.)
The ./ part of the command is saying "Look in the current directory, and execute the command 'truecrypt-7.2-setup-x86' from here". You need to run this command from the directory where you unpacked the file.
This can be tested: In the same terminal window where you are trying the command, enter the command ls -l true* - if the file is present in the current working directory, then a listing showing the file (and a bunch of additional information) will be displayed.
As Zanna has noted in the comments, your file may not have execute permissions - this can be fixed easily. As a test case, my directory shows
chick@dad:~/test$ ls -l
total 4
-rw-r--r-- 1 chick chick 788 Oct 27 06:15 rFullBack
chick@dad:~/test$
and the file "rFullBack" lists '-rw-' as my permission, to read and write the file. I can execute the command chmod +x rFullBack and the directory listing changes to
chick@dad:~/test$ ls -l
total 4
-rwxr-xr-x 1 chick chick 788 Oct 27 06:15 rFullBack
chick@dad:~/test$
There my permissions are now '-rwx', indicating I can execute the file.
In short, if the file exists in your directory
run the command
chmod +x ./truecrypt-7.2-setup-x86
and then the command
sudo ./truecrypt-7.2-setup-x86
How does calling commands in shell work
No, it is not a command. The way shells work is when you type in a line of text, first word is going to be treated as command, and if the command is not one of the shell built-in ones then the shell will look at all locations listed in PATH environment variable.
What happens if when the command you want to run is in the same directory as you currently located but that directory isn't on the list of PATH directories ? That's when you need to use ./. It is in a way exactly the same as doing /bin/bash - you are telling the shell where your desired command located, a full path to it. And in case of ./ you're saying to shell "look in this directory". So important part is that you have to be in the same directory where the file is located.
Of course, in order to actually run an executable, it must have executable bit set, so you'll need to chmod +x ./my_file.
So the important steps:
cdwhere you saved the file; if it's in~/Downloads, thencd ~/Downloads- Run
chmod +x ./truecrypt-7.2-setup-x86, this says "make file truecrypt-7.2-setup-x86 that is in this directory executable" - And now do
sudo ./truecrypt-7.2-setup-x86
Note that use of ./ is not random behavior, but actually is a standard, specified by Portable Operating System Interface standard ( aka POSIX ), specifically see "Command Search and Execution" section.
Reproducing the error
$ # my script is in ~/Downloads folder
$ stat -c "%n" /home/xieerqi/Downloads/my_script.sh
/home/xieerqi/Downloads/my_script.sh
$ # if I run sudo ./my_script.sh, we get an error
$ sudo ./my_script.sh
[sudo] password for xieerqi:
sudo: ./my_script.sh: command not found
$ # of course the command not found because file is not in ./, not in this dir
$ # this is not sudo's problem
$ # but sudo does indeed show the same error even if you're in same directory
$ cd ./Downloads/
$ sudo ./my_script.sh
[sudo] password for xieerqi:
sudo: ./my_script.sh: command not found
NOTE: the error message given by sudo is obviously misleading so this is something to be kept in mind; however please note that this wasn't the core of the question that OP is asking.
Documentation and references
From bash 4.3 manual, "COMMAND EXECUTION" section:
If the name is neither a shell function nor a builtin, and contains no slashes, bash searches each element of the PATH for a directory containing an executable file by that name.
From Why do you need ./ (dot-slash) before script name to run it in bash?:
It works with ./ because POSIX specifies that a command name that contain a / will be used as a filename directly, suppressing a search in $PATH. You could have used full path for the exact same effect, but ./ is shorter and easier to write.