Howdy!
First of all, have a read at on the Apache documentation here:
http://httpd.apache.org/docs/current/howto/cgi.html
The default installation should have a cgi-bin located _somewhere_ that makes sense. Double check that.
If all else fails you can force it (if Apache is loading the mod_cgi.so module, which I'd reckon it is) with an htaccess directive, though that is not very wise.
Under your document root make a cgi-bin folder, then create a file called .htaccess and drop this in:
Options +ExecCGI
SetHandler cgi-script
This tells Apache that anything in this directory is a cgi-script. Alternatively you can specify only certain files to run as cgi (which is usually better) as such:
SetHandler cgi-script .cgi .pl
and so on...HTH.
--dom