CGI is not Perl.
CGI is an interface between a web server and an external application. Only an interface. It is NOT a programming or scripting language.
CGI "Scripts" are those scripts which comply with the CGI interface. but they can, and are, written in many different scripting languages.
Some CGI's are Perl. Some are C++ code. Some are in other languages.
For the Perl scripts, you can run them from the command line of Windows or Linux if you have Perl installed. For C++ code you can run it directly like you can run any executable. This doesn't mean the script will behave well when you do this, as they were probably expecting to be called from a web server with parameters and not from the command line.