busybox mounts stuff read only...
you can run it using without the need to chmod by directly calling the interpreter:
sh "script_name.sh" <- without the "
copy the script from the usb thingy to '/' or '/tmp' then chmod and run
PS: oh If you mount your usb with rw access and it is formated in fat or ntfs you can't chmod the file since these fs are not posix compliant.