You should be able to append the anchor name to the end of the URL string just like the static pages. For example:

 
http://mydomain.com/cgi-bin/somescript.cgi?param=whatever#anchor
[download]

I know I've anchored CGI scripts before. But I can't remember if I've done it while passing parameters. If you are passing parameters like that and it doesn't work try passing them with a POST method instead