PLEASE NOTE: I get a lot of support requests about this example. It still works perfectly fine, but of course that's pending on a whole bunch of things like 1) Are you using it in an actual server environment with PHP running? 2) Did you upload the files correctly and all files that reference each other are correct? 3) Are you file permissions normal? The list goes on...
I cannot help you get this working on your site. I'm sorry, I just don't have time.If you are interested in fighting through, learning PHP, and getting this working, try going to the forums for help.
If you just want to get a form up on your site without any hassle, use Wufoo.
Reader Toni writes in with this fix for Windows servers:
/* Modification by Toni for Windows servers */