To make it more convenient: After you unpack it, go to the directory and run bin/pycharm.sh
. As soon as it opens, it either offers you to create an entry on the desktop, or if not, you can ask it to do this by going to the "Tools" menu and selecting "Create desktop entry ..."
Then close PyCharm, and in the future you can simply click on the created menu entry. (or copy it to your desktop)
To answer the specifics between Run and Run in Terminal: this is essentially the same, but "Run in Terminal" actually opens a terminal window and shows the console output of the program. Most likely you do not want this :)
(If you are not trying to debug the application, you usually do not need to see its output.)
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