Many times a script's installation instructions or readme file will tell you that you need to change permissions on or chmod a file/directory so that the script can execute or write to the file/directory. You'll need to make these changes through the file manager or through ftp.

Usually programs will display permission in an odd way such as this:
_rwxrwxrwx

In number form that's 777. You may or may not have the _ at the beginning. If you do, that means it's a file that has those permissions. If it's a directory you'll see a d there (drwxrwxrwx) instead of the underscore.

Each group of 3 characters are the permissions for the user, the group and finally others (everyone else). In addition, each group of 3 characters make up one number. The following is what each letter stands for:
r (read) = 4
w (write) = 2
x (execute) = 1

To give some examples of some common permission converted from the letters to numbers (with the first character removed to avoid some confusion):
rwxrwxrwx -> 777
rwx_r_xr_x -> 755
rw_rw_rw_ -> 666
rw_r__r__ -> 644

As you see above, you just add up what each letter is equal to in each group to form the numbers. 

Note: If you're changing permissions for a CGI or Perl script, please make sure to read the knowledge base article: "What is suExec and how does it effect my CGI/PHP scripts?"