How can I create a application launcher for a .sh file?

I have this run.sh file, and I've create a symbolic link into my desktop.

When I double-click on it the file the following dialog appearsr

And I have to click on "run" each time. How can I create a link that runs by default?

From ubuntu OscarRyz

• Instead of linking directly to the .sh file create an application launcher as follows:

  • Right click on your desktop
  • Choose "Create Launcher..."
  • Change "Application" to "Application in Terminal" in the drop down box.
  • Give it a name like "Idea"
  • Enter the command like this /path/to/script/idea.sh
  • Add a comment if you like, it will show up when you mouse hover over it if you move the launcher to a menu bar.

  Then when you click the launcher a terminal window will open and the command will run in there.

  If you don't want to open a terminal to see any output, just use "Application" instead of "Application in Terminal".

  OscarRyz : I wish I could add a non-svg image to the icon created. The rest worked perfectly Thanks.

  OscarRyz : Mhh.. strange, once created, I could associate the png icon Now it looks like this: http://yfrog.com/5gscreenshot20100817at719p Nice!
  From Richard Holloway

• Why not just configure Nautilus to execute by default?

  Under Nautilus goto Edit->Preferences->Behavior and click:

  "Run executable text files when they are opened"

  ithkuil : probably not something which most people want to suggest as default, but nevertheless very informative, it can be useful to know that it's possible.
  From Evan Plaice