gurobi.sh myprogram.py
On Windows, simply change .sh to .bat:
gurobi.bat myprogram.py
Additionally, for Mac OS X, gurobi.sh is just a small wrapper around /usr/bin/python2.6, so gurobi.sh myprogram.py is equivalent to:
python2.6 myprogram.py
The full answer:
On Mac OS X, we only support the version of Python that is supplied by Apple. This means two things:
1. We don't support another version of Python, such as a version downloaded from python.org
2. We support Python 2.6 but not (yet) Python 2.7 since 2.7 was not supplied with Snow Leopard
Additionally, for Mac OS X, the installer automatically installs the gurobipy module for Python 2.6; there is no need to run setup for Mac OS X.