copy the file to the desktop (for convenience)
Right click on the file and select properties
Under permission tab check allow executing file as program
- double click on the file and chose run in terminal if it is not a gui program)
chmod +x filename.sh
Comment below if it wont work :)
If it still won't work, despite having allow executing file as a program ticked, when you double click on the .sh file, and it launches gedit, navigate to the folder with the script.
Once you are in the correct current folder for the script, you can run the script like this:
From FAT partition
Follow this How do I execute a file from a FAT USB drive?