Bash running a terminal command

[ddillon3816]

I have a program that I can run by opening terminal and typing ./MCMA_2_Linux_x86_64

I want to be able to open a .sh file in the same directory as the program and have it automatically run the program.

NOTE: The program itself runs in terminal so the terminal window must stay open after the command.
SECOND NOTE: I am very new to Ubuntu and any answers I may not fully understand so an explanation following an answer would be greatly appreciated

Additional Information: 64 bit Ubuntu 12.04

[VMC]

If you right-click the file MCMA_2_Linux_x86_64, and under Permissions, make sure "Is executable" is checked, then double-clicking the file will open up a dialog that you can run using terminal.

If that will work.