As stated above, you need to have your webserver configured so that it executes your file as a CGI script. Assuming you're using apache, see this page.

In short: make sure your script is executable by the webserver (usually chmod 755 scriptname and the same for the path it's in), and that either ExecCGI option is enabled for the path and that the script's extension has a cgi-script handler or that the directory the script is in has a ScriptAlias directive.