[Newbie]Stupid Question.....

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I am trying to install XFree86, into TurboLinux 6.1 and have ran into a slight problem. I have downloaded all the files, including the optional ones, copied them from my MS Win98 Internet box, to my linux box via a 100mb zip disk, onto a FAT32 partition that is shared with other OS's. I then copied the files to a new directory, and tried to run 'sh xinstall.sh' and it asked for a confermation and after that, told me that none of the required files were found, yet they were all copied there. Is there a problem with copying files from FAT32 to a linux dir? or have I not done something realy simple? (like chmod'ing something?) I am still a newbie to linux, but have done alot (and learned alot!) so far, and would love to take the easy script install way.         thanks!!