I don't know why running the servers from the KDE file manager would not do anything, but I suspect that your command-line problem is due to the fact that the current directory (".") is not in your PATH. Nor should it be (for safety reasons). This is unlike the DOS/Windows world, where the current directory is inherently in the path. Try running the servers as ./world and ./zone instead.
You might also want to create a bin directory to put the executables and configuration files in. But that's just my personal preference.
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