Your external disk is likely formatted NTFS or FAT32. Those filesystems do no support Linux file permissions.

You've now at least five options:

• Just copy it to the desktop (or your Home folder) and set the permissions on that file.


• Backup the data on it and reformat the drive to the ext4 filesystem. This can be done using the Disk Utility or GParted


• Execute the file with a program, open a terminal and run:
  
  
  
  
  • for Bash scripts: bash /path/to/your/file.sh
  
  
  • for Python scripts: python /path/to/your/file.py
  
  
  • for Perl scripts: perl /path/to/your/file.pl
  
  
  • for windows executables: wine /path/to/your/file.exe
  
  
  • for 32-bit binaries: /lib/ld-linux.so.2 /path/to/your/file
  
  
  • for 64-bit binaries: /lib/ld-linux-x86-64.so.2 /path/to/your/file
  
  


• Copy the file to your computer (e.g. home folder), set the execute bit on it and run it. (this cannot be done for all files)



• (possibly dangerous) Mount the partition with the execute bit set for all files. To do so, follow these instructions:

  
  
  
  
  
  1. Mount the partition (by opening it in a file browser for example)
  
  

  2. Open a terminal and run:

     
     
     

     sudo mount -o remount,fmask=027 /media/YOURDRIVE
     
     

     
     
     

     If you cannot write / access files, run the command with ,uid=$(id -u) after fmask=022:

     
     
     

     sudo mount -o remount,fmask=027,id=$(id -u) /media/YOURDRIVE
     
     

  
  
  
  
  

  "Possibly dangerous" because you grant execute permissions to all files, only use this option if the other methods do not work.