Install, Run Penumbra Collection, Ubuntu Hardy Heron 8.04.1, HP Pavilion laptop

[helmcken]

I don't use terminal commands and am a 45 year young kid who just likes playing games! The demo ran beautifully, although I don't remember now whether I played the Windows or Linux version.
I downloaded the collection of games, but know nothing of md5sums, so am unable to verify the integrity of the download over my jumpy internet! 3 files landed on my desktop: PenumbraCollection-1.0.sh at 892.5 mB; CustomLayout.aspx_files at 24.2kB and CustomLayout.aspx.html at 13.7kB.
I emailed support, but have received no reply. I really need help to get this game installed and running! Here's what I've done so far (other than reading post after post, thread after thread, here and on Ubuntu!):
I read on a post that installing was easy. (Apparently, the .sh ending is the Ubuntu installer! That's news!) Point mouse cursor over PenumbraCollection-1.0.sh and right click to bring up Properties. On Properties, select the Permissions tab. Put a check mark in the radio box that says Allow executing file as program. Close window. Put mouse cursor back over the PenumbraCollection-1.0.sh icon and double click with left mouse button. That is supposed to install the games.
The install appeared to run smoothly. Even included a window where I entered the serial number! At the end, the window announced Penumbra was successfully installed. Under Applications > Games, the 3 games were listed with their distinctive icons. At this point, I restarted the computer.
But, when I left clicked on one, (didn't matter which), the game did not launch! Immediately following my click, there would be like a "blink" of the desktop, like the system was receiving/acknowledging my request. But nothing more happened.
When reading in the forum, output of the hpl.log is always requested. Using the SEARCH of my files, the computer says no such file/folder exists! So, I cannot provide the hpl.log output, even if I did know what that means... In fact, I couldn't even find a folder called frictionalgames or Penumbra!
The game appears not to be installed. What do I do next? Please tailor response to an absolute beginner level or I'll be lost. My laptop is a HP Pavilion dv8320ca, Intel Centrino Duo Processor T2050, 1.6GHz, 2MB L2 cache, 533MHz FSB, 160GB of storage on dual hard drives and 30.4GB available disk space. I'm running an nVidia graphics card which utilizes the legacy version of the nVidia drivers on this Ubuntu side. (I've a bootloader with Windows XP on the other side, which I use exclusively for games. Everything else, especially internet browsing, I do on this Ubuntu side.) Other programs run smoothly. The Ubuntu OS is commonly known as Hardy Heron, version number 8.04.1.
PLEASE HELP!!