Well since after messing about with mod_fcgid a bit I finally got it to compile.

I tried printenv.pl with this configuration:

LoadModule fcgid_module modules/mod_fcgid.so

<Location /fcgid>
    SetHandler fcgid-script
    Options ExecCGI
    allow from all
</Location>

as by the doc here:
http://fastcgi.coremail.cn/configuration.htm#regular%20fastcgi

when the same script is used in the normal cgi bin it works as expected :)
but under mod_fcgid it doesn't.

error_log:
[Fri Sep 07 18:08:09 2007] [error] [client 192.168.1.4 ] Premature end of script headers: printenv.pl

user.dmp and drwtsn32.log are here: http://users.skynet.be/jorge/dump_files_mod_fcgid.zip

I used http://httpd.apache.org/dev/debugging.html to get them. If there is something wrong with the dump file please forgive me since this is my first time.

--
~Jorge