I have this run.sh file, and I've create a symbolic link into my desktop.
When I double-click on it the file the following dialog appearsr

And I have to click on "run" each time. How can I create a link that runs by default?
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Instead of linking directly to the .sh file create an application launcher as follows:
Then when you click the launcher a terminal window will open and the command will run in there. If you don't want to open a terminal to see any output, just use "Application" instead of "Application in Terminal". |
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Why not just configure Nautilus to execute by default? Under Nautilus goto Edit->Preferences->Behavior and click: "Run executable text files when they are opened" |
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Richard's solution does not work for the Unity Desktop which recent Ubuntu versions use by default. To easily create shortcuts in unity you can use the "Main Menu" aka alacarte application which lets you edit programs. Just click the appropriate category and then "Create Item". |
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