.CGI = Common Gateway Interface. It means the file you have is a script, likely in Perl, PHP or Python. You would need to install the correct scripting language in order to run the file.
http://en.wikipedia.org/wiki/Common_Gateway_Interface
Use this converter instead:
http://www.legopoker.com/hh/
Or this one:
http://poker-tools.flopturnriver.com/Hand-Converter.php