If you still get the Permission denied message when you try to run something while you are root, this means that the program you are trying to run doesn't have the executable bit, and thus it isn't allowed to run as program, it is consider as a simple file by the system.

The gksu you gave there while you were root wouldn't solve any problem, you were root, and root is allowed to do anything.

So, in order to give it the executable bit:

chmod +x install

Now, the system recognizes that the file 'install' is not a simple file, but it is actually a program. After that, you can successfully run:

./install

And you should be OK :)

PS: I myself remember, when I was not used to Linux as well, to be very confused by this Permission denied message while I was root. I mean, I was root, who denies me to do anything ? I am the lord of this land :P