|CGI scripts need to be set executable. You need to change the mode, or permissions, of your programs with your FTP program, and make them 755, or rwxr-xr-x.
Note: A lot of scripts out there will tell you need to make them 775 or even 777. This is not good! It means anyone on the server can write to your script, and since its executable and executes as you, it could delete all your files!