Do you have the nupgrade.sh file stored in a FAT partition as the executable flag isn't supported by FAT - you need to store the script in the jffs2 filesystem (internal flash, ie. /home/user/bin).

Are you root when running nupgrade.sh? Did you download nupgrade.sh as root but are now trying to chmod the file as the normal unprivileged user? It would help if you were able to post the errors in this thread (this would be easier if you were running ssh... maybe open another thread to discuss the problems you are having as it usually works a treat - I wrote a guide to configure ssh using PuTTY on Windows and public/private key authentication for the user account here. Install openssh-server from the extras repository).

Ordinarily you don't need to download and chmod nupgrade.sh each time you run it - you only need to do it once.