Thanks but I don't need Wine
I've found the solution :
In the folder found here in this path : "the-headmaster-win/TheHeadmaster-0.16.3.3public-pc/lib/py3-linux-x86_64/"
There is a file called "TheHeadmaster"
You must check in its "properties" (right click on the file) then in the "permissions" tab that the option "Allow execution of the file as a program" is checked.
Then it works when you start the ".sh" file at the root folder (this file needs the same permission too)