There's nothing you forgot to install. Your script probably includes (non-visible) characters. The most usual scenario is windows end of line markings. You should create the script in n9's nano editor for example to avoid that situation.
sh /home/user/scripts/auto-wall.sh /home/user/scripts/auto-wall.sh: line 1: #!/bin/sh: not found sed: /etc/osso-af-init/%gconf.xml: Permission denied sh: mywall1.png: unknown operand sh: mywall2.png: unknown operand sh: mywall3.png: unknown operand sh: mywall4.png: unknown operand sh: mywall5.png: unknown operand sh: mywall6.png: unknown operand sh: mywall7.png: unknown operand