gdal - How to run OSgo4W shell script on Windows?

I have a lot of DEMs that I want to use to create hillshades, slopes and color relief from and would like to automate the processes using a shell script within OSgeo4W shell. Here is the code I used within the shell script to automate the creation of hillshades.

for f in *.tif
do
  echo "Processing $f"
gdaldem hillshade $f $f-hillshade" -z 1.0 -s 1.0 -az 315.0 -alt 45.0 -compute_edges -of GTiff

done

I'm new to OSgeo4W and shell scripting. I'm working off this example as a starting point. When I call the shell script within the OSgeo4W I get an error message that Windows can't open the file and then it gives me an option to use the web to find the correct program or to manually select a program to use.

I had assumed that OSgeo4W installed everything I would need to run shell scripts in Windows. What am I missing?