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Thanks for asking.
While I have no expertise regarding "do shell script", here are a few quick thoughts:
1) I'm not sure "do shell script" is part of the core set of AppleScript commands. If it's part of a scripting addition, it may not be available from within Remote Buddy.
2) Usually, scripts are only executed if they have the executable (x) bit set for them. If you downloaded the script from a website, this may not automatically be the case. You can add it in Terminal.app with
chmod ug+x /path/to/file
3) In a shell, you can usually redirect any output from the script (this should include error messages) by appending a >/path/to/logfile (file will be overwritten on each run) or >>/path/to/logfile (file will be appended with each run). F.ex.
ls -al / >~/Desktop/out.txt
will put the output of "ls -al /" into out.txt on your desktop. This tech note by Apple suggests there are other ways to output the result, too:
http://developer.apple.com/library/mac/#technotes/tn2065/_index.html
Best regards,
Felix Schwarz