The previous answer still stands; he was giving you an example CGI script to try, which would help narrow down the problem. In general, your CGI script needs to:

1. Be executable (and the web server must be configured to execute it as a CGI).
2. Send a proper Content-type header, followed by a blank line.
3. Print to STDOUT the text that you want to send.

If you get a blank page when you click on it, then you're probably doing #1 and #2 right. If your script weren't running, and weren't sending a Content-type header, you'd get some kind of server error (although I suppose it's possible that a badly configured or designed web server wouldn't give you a useful error). So your script may be getting to that point, but dying before it outputs the text.

Start tracking down the problem by running the script from the command line to see if it reports any errors and/or produces the correct output there. Also check your web server logs for errors; CGI script errors often end up there.