I have worked almost 2 hours to install the Apache httpd software.
1. I find the "httpd-2.2.25-win32-x86-openssl-" file to install.
2. Change the httpd.conf text file in under the Apache2.2(I have changed a lot of configuration in the file but actually maybe I just need to change the DocumentRoot parameter in the file. And the default folder was set as under the htdocs. So you just need to change the DocumentRoot and Directory from htdocs to the folder name you want to run the program. If you want the Apache parse py file, you should add ".py" after "AddHandler cgi-script .cgi" in the file.
3. Restart the Apache.
4. As you may entered the localhost as the server name when you install the software, so you just need to type "http://localhost/xx.cgi or .py" into your exploror. Then it will works well.
5. And since under the Windows environment, I add the "#!D:\Program Files\Python\python.exe" at the beginning of my cgi file.