I'm not familiar with Anaconda. What is it? Where did you download it from? You may not have gotten what you wanted.
If it's supposed to be a .deb installation file, rename it from .sh to .deb, right-click on the file icon, and see if Archive Manager can open it.
If it's a pure binary file, rename the file from Anaconda_blah_blah_blah.sh to Anaconda, and in the file manager (Nautilus), right click on the file, choose Properties, and under the Permissions tab, check the "Allow executing file as program".
postnote: according to the Anaconda download page, it says to do the following in terminal: