Once you log in to the Virtual Appliance via SSH using the "config" user:
1. Create a new directory inside /home/config:
$ mkdir script
2. Enable read/write to everyone:
$ chmod 777 script
3. Create your script inside the new directory. When finished, run the same chmod command against the script:
$ chmod 777 /home/config/script/<your_script_name>.sh
4. Now you create your Policy Xpress and set it to run the script. Make sure you use the full path to the script (/home/config/script/<your_script_name>.sh).
It is important to note that you should not install external software into the appliance. In this case you can try to use "portable" software - software that can be executed without installation, just copying its files to a folder. This way you ensure that no library, environment variable, etc will be changed.