Can we see the exact steps you are taking to get to that error?
What you'd need to do to run a downlaoded .sh file is first chmod +x it
cd /path/to/the/file
chmod +x filetoexecute.sh
./filetoexecute.sh
(the ./ executes whatever is in the ./ current directory. Otherwise it looks through your $PATH variable, and I assume you aren't in one of those directories)
What you'd need to do to run a downlaoded .sh file is first chmod +x it
cd /path/to/the/file
chmod +x filetoexecute.sh
./filetoexecute.sh
(the ./ executes whatever is in the ./ current directory. Otherwise it looks through your $PATH variable, and I assume you aren't in one of those directories)