Check the permissions on the sh file - it needs to be executable by the user that runs your Jenkins build.
Unfortunately I'm not very familiar with Windows, but I know that recent versions include a Linux shell so here is how to do it on Linux:
ls -l /path/to/example.sh
will show you something like this:
-rwxr-xr-x 1 myuser my group 519 Mar 7 14:54 example.sh
the first column in the output is the file permissions, and you're looking for an 'x' in at least the first position, which means it's executable by the owner (the value in the third column).
If you need to make the file executable, run
chmod +x /path/to/example.sh
which will make it executable by any user. This isn't always a good idea but the full subject of file permissions is a bit much to go into here; here's a good reference if you want to learn more.