Yeah. it needs to be executable, but as long as its pure shell script and not binary (If it was binary, then gedit wouldn't be ran) the sh command will interpret it regardless. The reason why gedit says this is probably becuase that there is a binary file that warzone extracts. Now, i have never installed warzone before, or used it at all, nor do i know what it is. so i cannot tell you anything for sure. If sh fails, try bash. If somehow both fail... err, try executable. Its prolly not best to run it threw nautilus (I will assume that you run gnome if you have gedit and that you use nautilus as a file explorer) since it may not be a full gui installer, rather maybe a console installer. that and while its extracting, it may have an error, and the only way to tell what happened is threw the console.
This is one of the reasons i wish there was an undisputable binary suffix for linux. Like .exe . I wish i could set this kindof value.