Fedora :: Installing From Shell Script?

I've successfully installed several packages, using either yum, the add/remove programs applet, or from rpm files.

I'm trying to install software which came as a shell script. (It's truecrypt, an open source encryption program). That is, the download is a tar ball which when unpacked contains this 2.5 mb shell script--that's how it's descritbed in File Browser. It appears to be a binary file (gedit complains when I try to open it). I can run it, in which case it displays some options + license agreement and then prompts for my password--and then complains since I don't have necessary privileges. I tried opening a command shell, typing "su" and the admin password, browsing to the download folder, and then typing the name of the install script, hoping that it would run the script as administrator. It always says 'file not found", even though a 'ls' command shows the file. In case it's relevant, the ls command displays the filename in green.