but they don't give me the code to that CGI file. What am I supposed to do with a CGI file?
From WIKI:
"A CGI file is a Common Gateway Interface Script file. Learn how to open a CGI file or convert a CGI file to another file format."
So CGI is a general specification for a file that can handle "something".
Personally I use php, which is a step "above" HTML. You can also use Perl, Python, C, or other programming languages.
This means that as a newbie you'll probably have problems knowing what to do. I suggest that the first you do is to learn HTML fairly well, and then php, which is a modern script language which executes efficiently and doesn't need compilation (like for instance C). The only drawback of php compared to a "proper" programming language is that debugging is rather clumsy -- but some debugging aids exist.
In order to not leave you in the dark I'll give you a simple example:
HTML:
<form method='post' action='action.php'>
<input type='text' name='username' value='Name here!' size='24' />
<input type='submit' value='Click this button to update!' />
</form>
php, file "action.php":
<?php
if (isset ($_POST[username])) $name = $_POST[username];
// Process "$name" further.
?>
Remember, this is just the basic!