With sh files, make sure they're executable (right click > properties and then check the box or whatever it was that says something about being executable)
Then, open up a terminal, cd to the directory that the file is in, eg;
cd /home/username/Desktop
Then type;
./filename
Hit enter and it should do something constructive

You might even be able to just double click on it and click on run in terminal rather than doing it from the terminal...I don't know though, give it a go and see what happens.