I was trying to install some flowchart software called yEd . The software was provided in an .sh format.
These are the steps to install .sh software:
1) Download the .sh file e.g. "filename.sh" and save it in on the Desktop
2) Open the Terminal from Menu -> Accessories -> Terminal Emulator
3) Type cd ~/Desktop
4) Type chmod +x filename.sh (makes the file executable).
5) Type sh ./filename.sh to execute the file.
6) Now install software as usual.