Before you try and do it in terminal, try this:
1. Unzip the .zip file.
2. Go into the directory (where the .sh file is)
3. Right click the .sh file, go into "Properties" or "Options" or anything like that.
4. Find "make executable" or "is executable" or anything like that, and check it.
5. Launch LifePlay.sh
Alternatively, you could do step 1 and 2, then:
3. Right click anywhere, click "Open in terminal"
4. Do the chmod command.
5. Launch LifePlay.sh
If none of that works, you can do it in terminal only. Do step 1, then:
2. Open terminal.
3. Do "cd ~/[LifePlay directory]" in terminal. This needs to be the path to where you unzipped the files to, only you will know where you place the files.
4. Do "chmod +x LifePlay.sh". You may need sudo.
5. Launch LifePlay.sh
EDIT: On a second look, the first "cd" command you did was correct, except the ")" at the end, but you don't have a directory called "LifePlay_4_20_Linux".