Hi rdeyvil and welcome to LQ.
I'm not well versed on dmenu, however in most desktop environments you can create a shortcut.
That short cut should point to the path and filename for the .sh file.
Please note that the .sh file should be executable for the username using the shortcut.
If not a shortcut, perhaps what they are talking about here with respect to aliases:
https://wiki.archlinux.org/index.php..._shell_aliases. Bear in mind that I have never used this window manager or desktop environment so I may be out in left field here. My normal experience is that I'd create a desktop shortcut and point that to the script.