Typically, a Messenger script file, such as cgiip.exe, resides in the \scripts or equivalent directory that contains your Web server's scripts. When you configure your Web server, you can decide which directories can hold executable files.
Most Web servers map URLs leading with /scripts to a /scripts subdirectory. This subdirectory is located either under or parallel to the document root directory. The /scripts directory typically contains only executable files. This is an appropriate location to place your Messenger script file.