hey
i can see that many of the community wants to know this.

all you do, is first go to control panel, folder options, untick the option called hide the file extensions.

when ur done, go to notepad and write the script for .sh file.
then, save it as a .txt anywhere you want

and then go rename the file.
and change the .txt to .sh.
and ur done...

NOTE: u only have to do the folder options for the first time that u do this ...