Bash Executable
An executable file has the execute (x) permission, so you can run it as a command.
Add the permission with chmod +x. Then run the file with ./ in front of the name, which tells Bash to look in the current folder.
Make a script executable and run it
chmod +x hello.sh
./hello.sh
Hello, World!
Run a script without the x permission
You can also give the script to Bash as an argument. This works even without the execute permission:
bash hello.sh
Hello, World!