you need to give the script execute permission.
$chmod a+rx (filename)
the bash scripts are in windows format with CR/LF end of line, but linux uses only LF
you can use dos2unix to convert these files :
dos2unix tbminer_ethermine_eth.sh
if you want to save the output in different file :
dos2unix -n tbminer_ethermine_eth.sh corrected.sh
Edit
And As sp_ said,
chmod a+x tbminer_ethermine_eth.sh (in my case as this is the one I use)
chmod a+x TBMiner