You should also have a nonCGI directory set to 777 with the Templates sub-directory and contents in it. There should be a Modules sub-directory in the cgi directory. (full version)
Run hello.cgi from your browser. The file is in the help directory. Copy and paste the output in a post here.
Also, post the exact URL to your cp.cgi. Something very weird is happening and I suspect it is the server. Be sure you uploaded all files except the graphics in ascii (text) mode. If you unzipped on the server, use the -a switch (unzip -a filename.zip) or whatever is equivalent on the Mac OS to preserve text files.
