Many thanks. That was the missing piece of information I needed.
To summarize:
Create a shell script, such as MyShellScript.
In Konqueror, create a link to the shell script:
Right click on the empty space in the Konqueror "folder contents" pane and select
Create New > Link to Application...
Give the link an appropriate name such as "Link to MyShellScript"
At the Application tab of the Link Properties window find the line labeled Command:,
click "Browse" and, once you've browsed to it, select MyShellScript.
At the line labeled Work Path: click on the "Open file dialog" icon, make sure the dialog
has the correct directory highlighted, and click OK.
Finally, click OK on the Link Properties window.
As an additional feature, if you are having trouble debugging your shell script, you can
click on Advanced Options, check the boxes, "Run in terminal" and
"Do not close when command exits". You'll get to see what's actually happening
under the hood.