I just did this.
First, right click on the .bz2.bin file and set the permission to allow executable.
Then, goto terminal, change to the download directory, and run the program (I did it with sudo, just in case. i.e. sudo ./PrivateerGold1.03.bz2.bin).
The game should install to /usr/local/games/privateer_Gold
goto terminal and go to the directory /usr/local/games/privateer_Gold/bin and run ./privgold
(It may even set the path so you can just type privgold, too)