Are you using a Perl script or PHP?
What type of server does your site run on, Windows or Unix?
What software are you using to generate your HTML pages?
Do you have cgi access on the server? Just because you can create your own directory called cgi-bin doesn't mean you have cgi access.
If you have installed a script on a Unix server you'll have to set the correct permissions using the CHMOD command - have you done this?
If you can let me have the answers to those questions I'll be able to help you further - the form script needs to send the form using your server's 'sendmail' facility (assuming it's there).