It means that the output is not well formed. This can either be: i) you made a mistake in the response header, which needs to start with Content-type: text/htmland two line breaks (but proper usage of any CGI module will take care of that); ii) something is erroneously printed into your response before this header (a debug print for example).
I'm nitpicking I know, but the response header can start and end with many directives...the only absolutely required one is Content-Type (and it must indeed end with two linebreaks). For example, this is perfectly legal:
Set-Cookie: USER_COOKIE=blahblahblah; path=/; domain=.example.com
This is my content...