Obviously you don't want to run this shell script, but a few pointers:
Make sure it has the execute attribute set (chmod +x filename).
Make sure that the first line in the shell script looks similar to this: #!/path/to/shell (and check that the path and shell actually exist).
Make sure you are in the same directory as the script. Xterm puts you in the root (/) directory by default. The "cd" command on its own will get you to your home and "cd .mydocs" will then get you to the top level of what you see in the file manager.

If all else fails, you can run scripts using "sh filename" instead. This does not require the execute attribute set on the script.