Yes, you need to configure the web-server to handle each file type. Perl scripts must pass through the Perl interpeter. The steps are specific to the web-server you are running but it simply involes associating the .cgi or .pl/.plx file extension with the path to perl .exe/.dll along with a scripts directory and user permissions. Apache is configured by editing its httpd.conf file. IIS is done with it's admin tool. Piece O' Cake for the web-server guy, he just over-looked it probably :)
I would guess you might have other problems even after this is done if your script connects to a database or does other actions specific to certain other modules being used in the script. Unless you are the author and are sure all of the necessary modules are loaded on that server and the links are changed in the script to point to the necessary paths, be prepared for some looking at perl script :-) Hope the gent used "strict" ;-).