Once configured, the CGI scripts should be uploaded to the pre-existing /cgi-bin directory of your site. If you don't have a /cgi-bin, you may be able to point (an email alias) to the scripts in their existing location in the /cgi sub-folder of your ListMailPRO files.
The files need to be CHMOD'd to 755 to be executable. "chmod" is a program used on linux systems to change permissions of files. It should be possible to set the permissions on a file or folder using your FTP program. To do this, right-click on the file and look for a "CHMOD" option. If this option is not present, try "Properties", or "Permissions". If your FTP program does not support this option, the permissions will need to be changed using a host shell. If you are unfamiliar with how to do this, contact your host and have them do it for you. Be sure you specify the correct path to the files.
Next: Setup Email Aliases