Oops.. scratch that...

I figured it out... :shame mode on:
The problem with this situation is that you are trying to run a shell file on a partition for which you have no exec rights. I.e. an USB disk, a CD or DVD or some extended, logical hard disk or network partition.
In my case, I have my home dirs installed on a different partition, /dev/hda5. (This gives me freedom to reinstall Linux any time without tampering with my users' data and config/settings.)
Solution:
Anyway, I needed to add the 'exec' option to the /etc/fstab file when mounting that partition.

If it says 'defaults' on the line in /etc/fstab, then it also means you don't have exec rights on it.
Easy as pie! Piece of cake!
Another workaround, when you can't or don't want to mess with the fstab, is to compile/install source only from /tmp. That will always work!
Cheers,
Chris.
www.realopenit.nl