Now on Linux, you can't simply rename a file into "filename.exe" to attempt to execute it, as you might consider in Windows. In Linux, every file has its restrictions, called mode bits. You can show them by using the "ls" command with option "-l":
The first "d" in some of the items indicates a directory. Then, three groups of "rwx" follow. Each "r" means "file/directory may be read", each "w" means "file/directory may be written", each "x" means "file may be executed". The first group of "rwx" shows the rights of the owner of the file, the next group of "rwx" shows the rights of the group of the owner and the last group gives information about what everybody may do with the file.
As there are some scripts out there, that can be downloaded, you have to make them executable in most of the cases (because downloading only sets -rw-r--r-- per default). Making a file executable can be achieved by the "chmod" command.
Notice, that " download_and_compile.sh" isn' t executable