Which command in unix is used to run the script immediately?

As long as the script file is readable and executable, just type the name of the script and it will execute immediately.

Otherwise, you can call the shell interpreter and have it run it immediately such as:

bash ./thefile

where ./thefile is the script you want to run. Or, substitute the shell interpreter you wish to use instead of bash, such as sh, ksh, tcsh, csh, etc.