CGI scripts are slow because they require loading the python interpreter in memory every time a request arrives; nevertheless there may be reasons to run web2py as a CGI script. For example, you have to if you use the Google app engine. Another example is if you do not manage the web server and need to install the script in your own user space.
In order to run web2py as a CGI script just call the cgihandler.py in the main web2py folder. You may need to add a first line like
pointing to the local interpreter, follower by
import os; os.chdir('/home/you/web2py/')
so that web2py knows in which folder it is located.