1. Created a new file in my home directory:

cd ~
touch rset
chmod 777 rset

2. Edit the file and add the following:

#! /bin/bash
cd /opt

3. Make the file executable

chmod +x rset

4. Run the script from my home directory:

me@me:~$ ./rset

When I run that script the directory does not change and I'm simply presented with another command prompt in the same location.