Yes, you need to be in the folder where the files are decompressed. I usually
download files to my desktop and right click on the compressed file. Then click
on Extract Here. The files will decompress into a folder. Open the folder. You
should see your file which ends with sh. At this time you will have to open a
terminal. Terminals if launched from the menu open in your home folder. Then you
have to navigate to the right folder on your desktop. However, I use the
Nautilus extension to open the terminal from Nautilus (you can install it from
the repositories). This simplifies things because from Nautilus you just go to
File | Open in Terminal and it will open already in the folder you are currently
in.

If you use the commandline approach you do not have to type the whole word. Just
type the frist few letters and hit [Tab]. This will usually complete the line.
However if there are similar names you need to type more to distinguish them.
Press Enter when the line is correct and it will execute.

Remember in Linux it is case sensitive. cd Des[Tab] will yield cd Desktop while
cd des[Tab][Enter] will produce an error message or produce a different folder
which starts the same but is written in lowercase.

The commandline isn't bad once you get used to it, but I am a lousy typer and my
hands are stiff, so I use the GUI approach whenever I can. Use what works for
you. 'ls' will list the contents of a directory.

You can copy and paste in the terminal, but you cannot use hot keys to paste.
You can to copy from your browser with Ctrl-C, but must use the menu, Edit |
Paste, to paste it into the terminal window.