To expand on that, if it helps:
1. I double-clicked the .sh file, and it did nothing.
2. I opened its Properties, and found that the "Is Executable" checkbox was not checked. I rectified that, but it still did nothing.
3. Afterwards, I tried running the program from the Terminal, and I got a message of "Permission Denied" (even after running it through sudo, though I admit that I did not bother to try running it as root).
I hope that explanation wasn't confusing, I just know how annoying it can be to get vague error reports so I wanted to be detailed. Thanks!