Could be any type of problem. Here are the 2 that I think are the most likely.
1) Is it executable? Most things in /usr/bin are, but if you put this there yourself, it may just have read, or read/write permissions. you can find out with
ls -al /usr/bin/(scriptname)
I won't go into how to interpret the info you get back in detail, but doing searches on permissions can help you. If you want this to be run, then most likely each possibile user (owner, group, and others) should have the ability to execute it. Another easy way to test:
If that executes the script, than permissions are most likely fine. If it doesn't execute, then your permissions are screwed up. That isn't 100% accurate, but is quick and easy.
2) Do you have the extension (if the script has one) associated with something else? I have seen Fedora Core boxes where when you try to download .rpm files, real player tries to play the .rpm as an audio file. If your script has some extension (.cgi, .exe, .*) you should check into that possibility.