I have done this with Apache 2. I'm writing a guide on setting up fastCGI or SCGI on Windows XP. If that is your OS then maybe it will help:
http://www.writely.com/View?docid=acj4fmm2gr83_3gx8pf2&revision=acj4fmm2gr83_3gx8pf2:302
If not I have many links listed at the end for sites detailing how to setup these dispatchers.
I might be able to help with a specific question on the setup. If you
have any suggestions on improving my guide let me know 
