Once you have a basic idea of what CGI is and what you can use it for, you should read this primer which will help you get started writing your own gateways.
If you are interested in handling the output of HTML forms with your CGI program, you will want to read this guide to handling forms with CGI programs.
Security is a crucial issue when writing CGI programs. Please read these tips on how to write CGI programs which do not allow malicious users to abuse them.
When you get more advanced, you should read the interface specification which will help you utilize CGI to the fullest extent. If you are a server software author, it will help you add CGI compliance to your information server.