There are several possible causes of this error, a few of which are documented at this site. Here are some things to look for:

• Verify your virtual directory. The CGI script may expect to be running in a directory and Windows may run it in a different one.
• Make sure you have 2 sets of CRLF (\n) after the headers
• Windows is not rfc2616 compliant.(Some PHP settings compensate for this)

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