Why do I need './' to run commands on Unix?

I noticed that every executable that I need I need by a ./ to run it on both Linux and MacOS (Unix / Unix-like systems). For example, to compile a C file with GCC and run it right away, I make the following commands:

$ gcc fonte.c
$ ./a.out

This also applies when I create a shell script:

$ vim script.sh
$ chmod u+x script.sh
$ ./script.sh

On the other hand, when I do it in Windows, I do not need to ./ up front. For example, if I create a bat , in the exemplo folder, just call cmd and execute the script directly:

$ cd exemplo
$ script.bat

Even when I use MingW (as git bash provided by SourceTree), which is a more "uniched" environment within Windows, I do not need ./ either. Taking the same example of the shell script generation in Linux, git bash would look like this:

$ vim script.sh
$ script.sh

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