GUI:
I changed the permissions of an sh file, so that I can read, write and execute it. I double-clicked it, selected run in Terminal, but it didn't run. I double-clicked it, selected run, but it didn't run.

Command-Line:
bash *filename* runs it
sh *filename* runs it

The file content is:

#!/bin/bash

# get dirsyncpro home
DIRSYNCPRO_HOME="$(dirname $0)"

# start programm and pass any parameters
java -Xmx512M -jar "$DIRSYNCPRO_HOME/dirsyncpro.jar" $* 

Works in this person's computer:

http://www.knowliz.com/2008/08/how-to-installrun-sh-file-in-linux.html

What's going on?