[CentOS] bash file direct execution

Hello all.

To continue with the problem I am facing, I have some news..

When I delete the line #!/bin/sh then the script works perfectly. When I put 
it again then the problem occurs again.
So the script just containing 'echo test' just works fine, but the script:
#!/bin/sh
echo test

doesn't work (except when put in the /root directory) ... and this is true 
for all other scripts.

So the question is: does anybody know what program is in charge of parsing 
that '#!/bin/sh' information, which apparently makes an error in the parsing 
?
Is there any linux guru that would know of it ?

Thanks,
Daniel