in windows it usually different from one installation to another. If in *nix environment you do not have to change this line most of the time, in windows most of the time you'll need. Luckily, Apache developers invented an option to lookup the path for script interpreter from the registry by following association of file extension. Look at this .htaccess for example:
AddHandler cgi-script .py
# Use the interpreter found in registry by file association
Here ScriptInterpreterSource Registry is the magic phrase to turn on the lookup. It is well described in Apache manual. FilesMatch is another directive to limit the scope of lookup to .py files only.
Finally, a reminder of how a minimal CGI script in Python looks like.
print "Content-Type: text/html" # HTML is following
print # blank line, end of headers