I created a shell script in Windows and ran it on Linux...

and it did not work. Everything seems to be in order. The problem is in Windows the EOL marker is \r\n and in Linux it is \n. You need to install dos2unix to convert your file to unix specifications.

sudo apt-get install dos2unix

Also see:
http://www.virtualhelp.me/linux/164-dos2unix-missing-ubuntu-1004