Not sure if this has been answered yet, but if the file downloaded as .txt file then it is bundled and you can install it using terminal as root, just run the command:
./VMware-Player-5.0.2-1031769.x86_64.txt
Using the sh command only works if the file was shell script, in this case, it's bundled so that when you run it, it attempts to determine if the necessary items are installed and if not, it loads the installer.