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There is njo such thing as an 'extension' in Unix. What make a file executable is the permission (as sansy mentionned) and the nature of the file itself, which you can get by reading the first line of a script for example or if the file is a binary file. (A script is just shell code, it is readable with a text editor and it is not a binary file)
For example, in your case, the first line of the script is:
which simply means that it is a bash script.
And the only reason why we run it using './install.sh' is to avoid confusion between executables. By typing this, you specify a path for the command ( . means the current directory).
BTW, 'sh' is only a kind of standard for bash script. You can also have ".csh" for example which are another kind of script. But remember that the extension really have no meaning other than informing you of the content of the file. I could have called the script 'foo.bar" and make it run as a executable!