The problem is the file association type. .pl is associated with running perl, while .cgi is not. If you've installed ActiveState, it came with some instructions explaining how to associate the .pl with perl. You need to do the same thing, only substitute .cgi for .pl.

I used to have instructions handy for doing that, but no more. It may by (or if not, should be) in the Q&A section of the monastery.

Sorry I can't be more specific how to fix it...

--Chris