In recently installed a game, Amnesia - The Dark Descent, for Linux and was puzzling how to run the game as it came in .sh form.
This is some info on running .sh files http://www.cyberciti.biz/faq/run-execute-sh-shell-script/.
For me, the installed file was on my external drive. There is obviously a way of running it off there, what I did was to move the .sh file to the Desktop, open a terminal, enter 'cd Desktop' to get to the Desktop command line and run 'sh (file name).sh'.
This then installed the game.