Every host does it different. It sounds like they have their servers to run scripts anyplace unlike many hosts which have it set up so that scripts only run inside of the designated cgi-bin.
Like on the Apache install that ships with Mac OS X the web folder is called "Documents" and then above that folder is a folder called "CGI-Executables" and any scripts that need to be run have to go in there.
Seeing as some scripts expect to find a folder called "cgi-bin" inside of the web folder there are a few ways of getting around this.
One is to edit the Apache config file to either make it so that scripts can be run anyplace or to change it so that a folder inside of the web folder named "cgi-bin" is the designated place for scripts too be run. Both of these options means that you need root access to do.
You can also make a symbolic link inside of the web folder that is linked to the real folder that has been designatedto run scripts. Symbolic links are kind of like Windows shortcuts.
So for the above example if I wanted a "cgi-"bin" inside of my web folder I would type this in terminal,
First get inside the web folder
cd /Library/WebServer/Documents
Now I can make the symbolic link
ln -s /Library/WebServer/CGI-Executables cgi-bin
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