It is look like that script have Windows "CR LF" symbols, as said Julius L.
You can try exclude windows symbols from file with vi:
$ vi script.sh
or try with:
sed -i -e ‘s/\r$//’ script.sh
It's not important. Just create a new file and put the directory path into that file. For sanity, I'd recommend the file name with extension .conf, for example mqm.conf