The scripting language is the terminal. Open a terminal window (in the directory you downloaded the script) and type:
[alex@ubuntu:~/Downloads]$ chmod a+x KernelSetup.sh && ./KernelSetup.sh #The './' is vital: If you don't type it, the terminal won't find the script.
The script automatically executes the shell commands needed to download, build and install the kernel.
Alternatively: If you don't want to type the './' in front of the script's name, add the directory that contains it to your PATH variable:
$ export PATH=$PATH:$HOME/Downloads