To install the .sh file extension in ubuntu, you can use the Terminal to install.
1. Goto Applications->Accessories ->Terminal
2. Change to the directory that the .sh file located.
3. Type sudo sh
or
You have to make the .sh file to executable.
1 . Open Terminal
2. Locate the directory of file to install (.sh)
3. Typed sudo chmod +x
4. To execute, just type the filename in the Terminal,