Yes, My server running php_cgi (My hosting company told me that php has full access to CGI)
SMF doesn't allow to run with php_cgi if you don't have some settings in php.ini. Just read this post:
http://www.webmasterstalks.com/seo-4-smf/i-have-a-big-bug-t837.0.html;msg4679#msg4679
Follow the instructions from there or talk with your hosting to enable cgi.fix_pathinfo="1" in your php.ini file
Regards