Expanding on what Anonymous Monk has wisely quoth -
When you call the WINDOWS shell with your "qx" command, and pass a file wht a ".sh" extension, Windows needs help to figure out what program to use to open the ".sh" file. It does not know, so it pops up a dialog asking you.

One solution is to explicitly call the cygwin shell and pass the .sh script.

Another possible solution is to use the windows "assoc" command or GUI equivalent to associate the .sh extension with cygwin.