I'm assuming that you're running Apache - YMMV if you're using a different server.
From Apache documentation:
"Any file that has the mime type application/x-httpd-cgi or handler cgi-script (Apache 1.1 or later) will be treated as a CGI script, and run by the server, with its output being returned to the client. Files acquire this type either by having a name containing an extension defined by the AddType directive, or by being in a ScriptAlias directory."