Check to make sure the paths in the Zope.cgi are correct, this typicly fouls you up if you install Zope in one area and then mv it to another, Zope.cgi contains absolute paths.
I did that..they all appear to be correct...I re-untarred and installed several different times in the same and new directories.
I seem to remember that if python sends something to stderr, then this will happen. Try cd'ing to [Zopedir]/lib/python and run python, then 'import Main'. At this point, if it fails, there is something wrong with your Zope install, or maybe an extension didn't compile right, etc...
Worked fine. When I run Zope.cgi from the command line, it dumps core...when I run pcgi-wrapper it complains about no info file.
If your using Linux, have you considered using Zap?
It's on a Sun/Solaris 2.5.1 Daren