Hi Guys, Since i was struggeling with the same issue (and godaddy support is useless in assisting with this issue) , and just a few minutes ago resolved it, i just had to share.
you should create a file called php5.ini , and place in on the magento folder. and in the root foder
I placed it both on the root folder (one folder above the /magento folder) and another copy in the magento folder - just in case.
inside the php5.ini file, you should paste the following 3 rows:
register_globals = on
cgi.fix_pathinfo = 1
allow_url_fopen = on
I then proceeded to the link, and presto - it worked !
by the way. I didn\\\ât use the \\\"cgi-bin\\\" folder when installing. it is not mandatory to use php5-cgi to run magento !
Hope this helps. good luck !