shell script giving error message "No such file or directory" on cygwin 3.0.7-1

[DynV Montrealer]

I've tried updating Cygwin a few days ago, hopefully I did it right and it
seems its version cygwin 3.0.7-1, with its kernel version 3.0.7(0.338/5/3).
If you did not realize it, I'm unfamiliar with Cygwin, as well as with
GNU/Linux.
I managed to do a command that give the result I wanted (I've tested it
successfully) ; its censored version is "sed -e 'WORKING_REGEX' -i
/cygdrive/REGEX_FILE_FULL_PATH". I then copy-pasted it (from Cygwin64
Terminal) into a file I saved with the extension .sh hoping to have that
work as a shell script. I then input in the terminal the uncensored
"./cygdrive/SHELL_SCRIPT_FULL_PATH" and got the uncensored version of
"-bash: ./cygdrive/SHELL_SCRIPT_FULL_PATH: No such file or directory". Oh!
And it likely is the right path as when I do the command "ls
/cygdrive/SHELL_SCRIPT_FULL_PATH" it gives the output
"/cygdrive/SHELL_SCRIPT_FULL_PATH".

Is there a way to make a Cygwin shell script with the command? Or do I have
to make a text file giving instructions (copy-paste, etc.) ?

Thank you kindly,
DynV

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