Somehow somwhere or in most of the stuff you need to make your shell file .sh or .bin file as executable. So to do that simple open the terminal and write the following command
chmod +x filename.sh
Well that gonna make your file executable which can be run from terminal by simple command
sudo ./filename.sh
There is another way of doing it through GUI, when you right click on the file and goto permissions tab then you get an option to make the file executable show as below :
Hope this helps you 🙂
Cheers!!
Realin !