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You'd need to type something like bash install.sh or ./install.sh. The latter will only work if the file is executable.
./ being in the current folder.
It's a touch different from how the DOS prompt works. My guess would be it's to prevent confusion between "command" the global command from PATH and "command" the executable file in the current folder, but I'm not sure how or where I'd look up the rationale.
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