The EclipseFP plug-in allows you to run your code without going outside of Eclipse. This speeds ups the coding - debugging cycle and provides some tools for better inspecting your application. You can read more clicking each tool in the TOC.
For plainly running an executable, right-click on your project root, go to Run As and then Haskell Application. You will get a list of the executables defined in your Cabal file, where you can select the one to run. If only one executable is defined, it is run by default.
Sometimes you may find the the list of executables hasn't been updated after a change in the Cabal file. To get it, clean your project by going to Project > Clean... in the main menu.
It is very common in the Haskell world to load a file in the interpreter to directly test the functions defined on it. You can do the same in EclipseFP right-clicking the module you want to test and then going to the Run As menu. You can start either a GHCi session or a Hugs one.