can't run rubymine.sh, always opens in gedit

I recently installed Ubuntu 14.04 on a new machine, and I can't get rubymine.sh to run.  My old machine runs 10.04, and I  had set up a link on my desktop that asks me how I want to "open" rubymine.sh when I double click on it, i.e, a window pops up asking "Do you want to run 'rubymine.sh' or display its contents?" and gives me 4 options, run in terminal, display, cancel, and run (I choose the last).  On the 14.04 machine, I have set both the actual rubymine.sh and the link to "allow executing file as program" by checking that option in "properties...permissions" from nautilus, but despite that, when I double click on either, it always just  brings it up in gedit, and never asks me how I want to open (or run) it.

Thanks for any advice.