Having gone through that issue myself, I can list the things that got it working for me (by the sounds of it, you'll know #1 but maybe the second will fix it for you).
#1. Is the PMS.sh file ready to run as a program? Simply right click it, select Properties. Then click the Permissions tab & make sure the 'Allow Executing File as Program' is ticked. If it wasn't ticked then that was very likely the problem & you mightn't need #2
#2. Another source of the problem could be that not all the back-end video software you need is installed yet, so the I'd check out this link which I've used for a few friends to get the program working - http://ubuntuforums.org/showthread.php?t=766683
. If the long list of info on the page looks very daunting, don't worry you won't need all of it but will need the 'preparation' & 'video' sections. Also keep an eye out for the section headings, there's a lot of info there for versions of Ubuntu before 9.04 - so don't do them unless they apply.
This link I was very thankful for and is from this forum post: viewtopic.php?f=3&t=1508
It's well worth the effort to get the program working, enjoy.