You need to make the script file executable using the chmod command or Nautilus:

chmod u+x <filename>
   changes permission of the named file to executable.

• u - user, (this means you)
• + - adds permissions
• x - executable rights

Nautilus

right click the file, click 'properties' on the right-click menu, then select the Permissions tab, and then put a check next to the Execute box on the owner line.