Hmm... That's exactly how it do it. I've tried lots of distros, but for one that I just like to go back to it's usually fedora.
For your debian install I can think of two simple suggestions. Make sure you have the exact case of every single letter. Linux is case sensitive so even if you miss capatializing one letter it won't find the file. The other thing is that instead of using "sh" you can also use "./" so ./NVI* and that should work. It might launch with a wildcard, if not you'll have to type the whole thing in.
I really don't see using linux as a desktop replacement, but if you had some server tasks to offload it would work well for that. Right now I'm messing around with minecraft, so I need somewhere to run web, mysql, and the game's java file for the server. Linux would work good for that. If you have a goal to accomplish I find it to be a lot more enjoyable. For something as simple as that you'll need to figure out how to use apache, mysql, iptables if you have them enabled, ssh, samba, vnc.