I have no problems running the script, now have it on my shelf working properly. Here's the steps i took.

Copied GI_Joe.mel and GIJoe.lights into my scripts directory....

C:\Documents and Settings\user\My Documents\maya\4.0\scripts

Opened Gi_Joe in wordpad and changed the path to the lights...

C:/Documents and Settings/user/My Documents/maya/4.0/scripts/GIJoe.lights

Notice you have to change \ to / for the path.

Then saved.

I then loaded a scene in Maya.

Open the script editor and open the GI_Joe script.
In the command line type GI_Joe;
In the script editor, middle mouse drag the text i have highlighted onto the shelf, see below..

Then i just changed the icon. Works fine for me straight from the shelf.