A script is a file of commands you can run again. Making one runnable is two steps: a line that says which shell reads it, and permission to execute. Both failures have clear messages, and both are worth understanding rather than working around.
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Write and run a two line script.
Create it
Before you run it, say out loud what it will print. Then open the answer.
Run it
Before you run it, say out loud what it will print. Then open the answer.
See the failure without the bit
Before you run it, say out loud what it will print. Then open the answer.
A script that does one thing and can be run again is worth writing the moment you do it twice. The file is the record of what you did, which is also what makes it reviewable next month.
Echo each command before running it, or run with a flag that only prints. A script that says what it is about to do can be reviewed before it changes anything, which is the cheapest safety there is.
#!/bin/sh on the first line tells the shell which program reads the file. Without it, the file runs in whatever shell you happen to be using, which is a different language in places.
Permission denied on a file that exists means it is not executable. chmod +x script.sh fixes it. The alternative, sh script.sh, names the interpreter directly and works without the bit.
Running ./script.sh uses the current directory, so it works from anywhere and never depends on a setting. A bare script.sh needs the file on a search path, which is a different and less obvious mechanism.
Each one is defined here on this site. Open the entry for the full definition and the other words it points at.