Scripts – How to Install a Downloaded .sh File

There is a way using zenity

zenity --question --text "Are you sure?"

You can test the exit status of that command with $? variable, something like this: if [ $? -eq 1 ];then exit 1 ; fi . 0 is OK , 1 is cancel. This construct will work well if you need to test exit status of the popup later, maybe store $? right after the popup exits to a variable. As discussed in the comments, structures like bellow will also work:

if zenity --question --text "Are you sure" 
then
     runSumeFunction
else
     exit 1
 fi

or

 zenity --question --text "Are you sure?" || echo "User isn't sure:/"

For command-line applications that do not require GUI, it is sufficient to place the call to them into /etc/rc.local , which already runs as root, thus does not need sudo. Below is example of my own /etc/rc.local which I use for starting two monitoring scripts.

#!/bin/sh -e
#
# rc.local
#
# This script is executed at the end of each multiuser runlevel.
# Make sure that the script will "exit 0" on success or any other
# value on error.
#
# In order to enable or disable this script just change the execution
# bits.
#
# By default this script does nothing.

/home/xieerqi/bin/batmon.sh &
/home/xieerqi/bin/sh/temperature.sh  &
 exit 0

For GUI applications, you would need to take a different approach. You would need to open Startup Applications app, and add the following command:

bash -c "sleep 10;gksu /usr/bin/my_vpn_program"

What this does is gives GUI sufficient time to start, 10 seconds, then will bring up password dialog and if you enter password properly, will launch your command. Effectively this is a mini bash script. You can use pkexec instead, and some might even say pkexec is recommended instead of gksu.

Alternatively, if you don't want to enter password every time, you can allow your user run this particular command with root privileges without authentication. For that you need to edit /etc/sudoers file. WARNING: it is recommended that you use sudo visudo to edit the file from terminal. Below is example of how I use the same setting with pm-suspend command:

# Allow using pm-suspend for my user without password
my_username_here ALL = NOPASSWD: /usr/sbin/pm-suspend

This line should be appended to the end of /etc/sudoers file and saved. Note, that you still need to append sudo or gksu to the beginning of each command that you set up. Thus, you would need to use the same bash command I showed previously.