I take it you don't have shell (ssh, telnet, etc) access to the machine.

The best thing to do is up a simple shell script.

#!/bin/sh
# let the browser handle the data properly (w/o this it will fail)
echo "Content-type: text/html\n\n"; 
# some cheesy data
echo "Hello.";
[download]

Also, check with the admin and make sure the permissions are set properly on the cgi script. This can vary wildly from system to system, but a relatively sure best is a+x. FTP might give the perms with an "ls -als" command. in a+x mode, there should be 3 x's (owner, group, global).