My initial response to your posting is to suggest that you scrap IIS and get Apache. IIS has been plagued with security problems. Additionallly, if you are going to use Perl to write your CGI code, then apache's mod_perl module give some enourmous performance benefits. If you already have IIS running, I doubt you will dump for apache..... I am running IIS on a box that I still can not keep virus free. It is religiously kept up to date with all available M$ provided patches and for the last 4 months I have continually gotten infected. Thank goodness for antivirus software.
CGI is not a language or piece of software, it is a set of rules which when followed will enable you to run a program through a web server (IIS). In order to get CGI stuff running under IIS, please refer to the IIS documentation. I would tell you more if I knew it, but, I generally stay in the *nix/apache world.
Perl seems to be the language of choice for CGI applications. You can get it free from the sources Tracy listed. Once Perl is installed (it comes as a double click and install executable - pretty straight forward), then check the IIS docs to see how to tell IIS that the perl scripts are CGIs. Like I said, sorry I don't play with IIS enough to know how to tell you the steps. I've done it a couple of times, but I can't remember off the top of my head.
Please feel free to come back with any specific questions.
Good Luck
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