bash-executable.pax.Z is a binary file which contains the z/OS distribution
of bash 4.2 as of 2014-09-17. This file can be ftp'd to a z/OS release
1.12 or above system and "unwound" in order to install the BASH executable
as well as some support files. I assume that if you are doing this, you
don't really need any hand-holding to do the installation. The commands:

cd /usr/local
pax -rzf /where/it/is/bash-executable.pax.Z

will install BASH in the /usr/local/bin and /usr/local/share subdirectories.
Hopefully that information is sufficient for you to be successful.