I am sure I am doing it wrong. should I be "running" the file from a terminal? If so, I don't know how to do that.
You'll find that double-clicking a file often doesn't run it as in Windows.
Open the Terminal, and write
inside that directory (as root). That will run it, and you can see messages in the Terminal if things go wrong.
In the future, if you really want to double-click on a file to run it, you can change its permissions. Right-click on the file, choose properties, then permissions, then check "Allow this file to run as a program". Note that this is not going to work here, because you cannot change a cdrom file.
If I double click on the file install.sh it just brings up a note pad document...
You mean a Mousepad document