That's how it's supposed to work. When you execute a shell script, it spawns a sub-process. When you change directory in a subprocess, it may not modify it's parent's PWD, so when it exits, you're right where you began.
If you want to execute a script in the current context, try using a function. For example, in sh you should be able to place something like this in your .profile:
Code:
cd_logs(){
cd /var/log
pwd
}
