You probably sent an ascii dump rather than transferring the file via xmodem or similar, and since a .sh file is just a series of commands to the shell being run as an interactive shell, it just did the right thing.

What you should have done first is "cat > fidsift.sh", then ascii-dumped it. Then pressed Ctrl-D after it was done to tell cat that you're done sending. The problem with this is that the empeg's serial port uses no flow control, so if there's a buffer overrun or similar, it has no way to compensate, and you'll just lose data. xmodem or similar would be a lot better, but I don't think that there's any such stuff on the empeg to use.