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I have a generalized program to be run both in windows and linux.

When I run the program in the windows console it halts at a point where the .sh file is to be executed with a window popping asking for "which program to use" and requires manual intervention to cancel.

My question is: How do I change the setting available in the console that will let not the execution to halt when an unknown file extension is encountered?

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In Windows, are you using Cygwin? – VenkatH Oct 30 '12 at 6:32
If it is unknown how can Windows execute it without halting and complaining? As mentioned in the answer below, associate the extension with the correct program, or modify the script and add a call to the program in the relevant line. – Karan Oct 30 '12 at 19:25

In windows you must associate .sh files with msys bash, or run them via sh.exe, but not directly.

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