Disclosure: I searched a lot, and I don\'t think my question (for my configuration) is answered here. For example run python script as cgi apache server doesn\'t answer it.
In my case (which is a shared unix machine), I also need to create a hidden file ".htaccess" with the following:
Options +ExecCGI
SetHandler cgi-script
It is also important to set the permissions accordingly (755 - group and other with no writing but execution permissions) as well as having:
#!/usr/bin/python
as a first line of the python CGI script.