i guess you should type:
Exec=/usr/bin/osso-xterm sh /home/user/MyDocs/Scripts/gainroot.sh
or maybe just
Exec=/home/user/MyDocs/Scripts/gainroot.sh
will be just fine... anyway, MyDocs folder is in /home/user, not in root directory of your phone does it work when you type "sh /home/user/MyDocs/Scripts/gainroot.sh" in XTerminal?

EDIT: and in your script, the first line should be "#!/bin/sh" (you forgot the "/" after "!"