I've created a simple shortcut.desktop in my Lubuntu 13.04 /usr/share/applications:
[Desktop Entry] Type=Application Name=shockwave Icon=/home/zane/Pictures/Evil Decepticons.png Exec=/home/zane/Documents/Zane_Shockwave-RDP.sh Terminal=true MimeType=text/plain Categories=GTK;WebBrowser;Network
The pointed sh contains just echo "it works".
If I double-click the .desktop it directly, the script runs and everything works as expected.
But if I click the menu entry from the desktop, I just get a "stuck", non-inputable Terminal.
Note: to workaround this bug https://bugs.launchpad.net/ubuntu/+source/pcmanfm/+bug/975152/comments/14 I've just "lxterminal" under PCManFM -> Prefernces -> Advanced, otherwise I can't run .sh at all.
Edit I also tried these variant, but I always get the same result:
Exec=sh /home/zane/Documents/Zane_Shockwave-RDP.sh Exec=lxterminal /home/zane/Documents/Zane_Shockwave-RDP.sh