In this context a web server is a computer program that listens for requests coming from the internet, and responds to them.
To use CGI you need to install one on your computer. I recommend Apache. If you are running linux then it should be easy to install. If you are not running linux, (or Mac OS X) then everything will be much harder.
If you chose to use a framework like Catalyst, then they usually come with a built in web server that is suitable for debugging and very light traffic.