It doesn't pop up like that at all. When I double-click the .sh file, the Ubuntu opens it as a text document that says:

#! /bin/bash

sudo dpkg -i*.deb

If I right-click the file, I get options like "open" but they also lead nowhere but to a text editor.

Had no success with command line, couldn't find the directory.

This is really weird because I'm using the exact same files as everyone else: I downloaded them straight from your site.