To test the CGI application example you must place it (the CGI.exe file) in the "cgi-bin" directory of a Windows server, then modify the form action of this html file to point to that server. If it fails, it means that something's wrong with either your server configuration or the form action attribute, not with the application, I can assure you. You may recompile the "CGI.pb" file if you want to be sure.
This example has been tested with Apache 1.3.14 (as localhost) and Netscape 4.7 in Windows 98.