command line - Lilypond install not working

I'm trying to install Lilypond on a 32-bit system, and for some reason the sh file simply does not want to execute itself.
I'm completely new to Ubuntu, so I have next to no knowledge of how anything works. But I've looked around and tried a few things. I've checked "allow executing file as program" in Properties, but I don't see any option of executing the file, only opening it with gedit or Libreoffice writer.

I've tried,

chmod u+x lilypond

and

chmod u+x lilypond-2.18.2-1.linux-x86.sh 

but both times it said

chmod: cannot access [filename I entered]. No such file or directory

I've seen a suggestion for something like:

cd /path/to/file  
chmod +x filename.sh  
./filename.sh  

but I don't even know how to make a command line with more than one line.
Does anyone know what I can do?.