Application link problem?

[Mike]

I have a java jar file.  I can execute it using

"java -jar myapp.jar"  from a terminal window

or I can make a .sh file containing the above and execute it from a 
terminal window.

If I create a desktop link to either the java statement (with complete 
path myapp.jar) or to the .sh file, it won't execute.  The app appears 
in the bottom task bar, the icon jumps around and then goes away.

What am I doing wrong?