This could be alot of things.
1st : did you put it in your public_html/cgi-bin ?
2nd : did the script have an install file or should it just run straight up?
3rd : Is the script in Perl ? If so then is the hash bang correct (#!/usr/bin/perl -w). This should be the very first line of the file.
4th : If it is in your cgi-bin, set to 755 and the hash bang is "#!/usr/bin/perl -w" and still doesn't work, then ask the people who made/wrote the script.