A script is a text file, which may or may not have the file extension .sh. The first line of the file (shebang) indicates which interpreter/shell should execute the rest of the script:
The MIME type of shell scripts is application/x-shellscript
.bat or .cmd are basic equivalents on Windows.
http://steve-parker.org/sh/sh.shtml - Linux Shell Scripting Tutorial
http://www.zazzybob.com/bin.html - Shell Script Repository