Ok this is quite simple, what you want to create is a .desktop file such as below:
Comment=Application for managing and playing games on Steam
What you can do is run gedit with sudo(or your favorite text editor) browse to the
directory and open any desktop file. It should look something like the above representation. Your file after you edit it might look something like this:
Exec=sh [link to file]
Icon=[link to icon(not required)]
Categories=[choose what categories you want this file to fit into]
It is important to note that the link to the files has to be the full link not a short ~/ link. Also if you want to run your script as root add "gksudo" before the sh command on the Exec line.
Once you have saved your file, right click, go into properties, permissions and make sure that Allow executing as file is ticked. Then restart, it may not be required though.
sudo gedit [your chosen desktop file]
sudo nano [your chosen desktop file]
Edit it then save as what you want to call it.
chmod a+x [your saved desktop file]
You may need to restart you pc