Two things? Ew. Too much work. On Windows you only need to rename its extension (.bat, .vbs, .js etc).
echo "hello world"
Use the text editor to create a file with the lines above in it. Save the file, calling it hello. Then make the hello file executable by typing:
chmod 755 hello
You can then run the script by simply typing hello. When you type hello, UNIX realises that this is a script, and runs the UNIX commands inside it (in this case, just the echo command).
Hi Linux, I'm a PC and I rule the world online!
FYI, file extensions don't make a lick of difference in *nix systems (ie the .sh extension is completey optional). How files are interacted with is based on how you chmod it, not on what its extension is. Setting file extensions in *nix is really just to help you stay organized.