Your script must follow the CGI interface, which requires it to print:
(1) One or more Header lines.
(2) A blank line
(3) (optional, but strongly advised) a document body.

This error means it didn't.

The Header lines can include anything that's valid under HTTP, but must
normally include at least one of the three special CGI headers:
	Content-Type
	Location
	Status

Example (a very minimal HTML page via CGI)
Content-Type: text/html			<= Header
					<= Blank Line
<title>HelloWorld</title>Hello World	<= Document Body

A common reason for a script to fail is that it crashed before printing
the header and blank line (or while these are buffered).  Or that it
didn't run at all: you _did_ try it from the commandline as well as
check the file permissions and server configuration, didn't you?

Another possible reason is that it printed something else - like an
error message - in the Headers.   Check error logs, put a dummy header
right at the top (for debugging only), check the "Idiot's Guide",
and use the debug mode of your CGI library.