First, ensure your script begins with the correct hash-bang,
e.g. #!/bin/bash
Then make sure the .sh file is executable -
Open a terminal using Ctrl+Alt+T or from the applications menu
Navigate to the location of the .sh file. e.g.
cd ~/location/to/my/file
Run
chmod u+x <file name>.sh
, or if permission is an issue,
sudo chmod u+x <file name>.sh
and enter your password to confirm
Alternatively, you can right-click the .sh file from the file
browser and update permissions via the Properties option