Monit – issue configuring “check program”

I'm trying to configure Monit to run my script but it's not working.

I'm running Monit 5.3.2 from a Ubuntu 11.2 environment (it's a virtual machine, my machine actually is Windows 7), and for some reason I cannot make the "check program" to work. It always gives the error:
Warning: Program is not executable: 'scriptPath'.

Just in case, I tested by copying the example Monit has on the manual (http://mmonit.com/monit/documentation/monit.html) and created the script as the manual, as described below:

An example:

  check program myscript with path "/usr/local/bin/myscript.sh"
  if status != 0 then alert 

Sample script for the above example (/usr/local/bin/myscript.sh):

 #!/bin/bash
 echo test
 exit $?

Anyway, even with those instructions, I still receive the same error message:
Warning: Program is not executable: /usr/local/bin/myscript.sh

I have no idea what can be happening. Any suggestion is very welcome.