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Yeah, like the other guy said. That command will run the game, but you aren't in the right folder!
As a quick run down:

That .sh file is a script that runs the game. When you opened it and it came up with all that text? That is the script that makes the game launch. You are just looking at the programming that makes that possible.

A lot depends on your distro. On Linux Mint (what I used to use before moving to Ubuntu) you can right click a .sh file and mark "allow executing file as program" and then just double click the .sh file, and it'll run. Some distros don't really do this, because making you run it though terminal keeps users more safe.

Anyways. You are going to have to learn a very small bit of terminal to launch this game. Pretty much, you need to navigate in the terminal to the folder you have all the game files in, then type in "./" and press enter.

That should help. All you need is pwd, cd, and ls. (you don't have to type the dollar sign)
Just read #2, #3, and #4)