Notepad++ has a "Run" feature where you can simply run "$(full_current_path)" and it will run the file you're working on with its default program.
Is there any way Sublime Text can do this as well?
In ST2, you can set its build system in: Tools > Build System > New Build System
And here you can find the manual https://www.sublimetext.com/docs/3/build_systems.html