I will take a guess that you might 1) make sure cgi is enabled in your webserver configuration 2) Probably must place the cgi script under $WEBSERVERDOCS/cgi-bin unless you alter the configuration.
Also, the webserver might need to be configured to understand what interpreter uses .py files. (not an issue on windows) Good luck -- http://mail.python.org/mailman/listinfo/python-list
