Hi,
I tried to create a 'hello world' type shell script:

cat >t
#!/bin/sh
echo Hello world
^z

Then I issued:
chmod 755 t

ls -l t result:
-rwxr-xr-x 1 root root 20 jan 1 01:25 t

./t results the subject of the thread

operating system is
OpenWrt on ADM5120 embedded controller

I tried the same on Slackware 13 with almost the same result except that the message said:
bad interpreter: text file busy
I checked the SHELL variable by issuing a set command and the value of the SHELL variable is the same as I specified in the script.
(/bin/sh on the Adm5120 system )

Google-ing the error message did not result relevant information. I suppose a linux guru simply points out my mistake.

To terminate the standard input you have to use Ctrl-D, not Ctrl-Z. With Ctrl-Z the job has been stopped and the text file is busy as stated by the error message in slackware. To recover the stopped job, use the command
(as is without arguments) then either continue to write the content of the file or just terminate using Ctrl-D. After that the script will be runnable.

Thank you very much for your quick help!
Unfortunately my small system doesn't have even vi :-(
Using ^Z was a piece of the ruins of my 20 year old DOS practice and seemed work...
Thank you again!