Of course you have to replace ~YOURFILE.SH~ with the name of your file.
"Really, I'm not out to destroy Microsoft. That will just be a completely unintentional side effect." - Linus Torvalds Interview with David Diamond, September the 28th 2003
You have to own the file, or act as root (computer supervisor), to delete a file. Unless you change their owner, the files that you own are likely pretty well limited to some of the files in your home directory. For general information on this subject: http://douwil7.100webspace.net/linux/Tuning.html#5.