The Simple CGI Wrapper is used to allow CGI scripts to be run as your username. This used to be a problem before Apache developers developed the SuExec module. Before CGI scripts would run as the webserver user. Now that SuExec is available and is enabled on all of our servers, the Simple CGI Wrapper is not needed.
If for some reason you want to install the Simple CGI Wrapper, you may do so. After the install script has run, you will notice a directory in your public_html directory called scgi-bin. This is where you will need to upload any CGI scripts and change your links to call the scripts in this directory. Again, because of SuExec, the Simple CGI Wrapper is not needed as SuExec will perform all the tasks.