Its not the directory that matters. If you're using Apache, it has to be told that the directory (cgi-bin) is allowed to execute code. It should look something like this in the httpd.conf file:

<Directory /path/to/your/cgi-bin>
     Options ExecCGI
     Order allow,deny
     Allow from all
</Directory>
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If you have IIS I'm not sure of the options