No problem, cgi.pm - the pm part stands for perl module, and in this case it is a standard module. This means that it should be installed already on the machine that has perl on it.
In some cases references will be made to non-standard modules, but this particular case you don't need to worry too much. Just put use cgi; at the top of your code and the perl interpreter will know where to look for it.

If you are interested, there are plenty of nodes on installing modules etc, right here at the monastery.

Hope this helps, Gerard.
Update: in short, yes you do need both files, but you should already have cgi.pm there.