.sh files wont open even with proper access

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http://ubuntuforums.org – I'm new to Ubuntu since Windows 8 decided to delete itself and I'm getting the hang of things fast but sh. files..Everywhere says to right click then properties then to allow executing file as a program then just double click. I do this but still no dice. It just keeps opening in gedit. Please help and explain in a way you'd explain to a noob. Thanks in advance for help and attempted help (Hardware)