Using CuteFTP, right click on the file you wish to modify in the right window (those on the left are files on your local hard drive). You should get the following menu:

Select CHMOD.... This will bring up a "Change File Attributes" window that should look like this:

Set the permissions for your .cgi file to what is shown.

Do NOT make .cgi scripts "Group" and "Public" writable!! Doing so will allow non-privileged users to update/modify your script.