If you still get the
Permission denied message when you try to run something while you are root, this means that the program you are trying to run doesn't have the executable bit, and thus it isn't allowed to run as program, it is consider as a simple file by the system.
gksu you gave there while you were root wouldn't solve any problem, you were
root is allowed to do anything.
So, in order to give it the executable bit:
chmod +x install
Now, the system recognizes that the file 'install' is not a simple file, but it is actually a program. After that, you can successfully run:
And you should be OK :)
PS: I myself remember, when I was not used to Linux as well, to be very confused by this
Permission denied message while I was root. I mean, I was root, who denies me to do anything ? I am the lord of this land :P