Yes, actually the location of the cgi-bin has to be configured in the server config. In most of the servers it is however preconfigured. If you just create a cgi-bin, it would not work because it has to be registered as a directory containing executables in the server config.
Some providers allow users to execute scripts outside of cgi-bin. The server recognizes those files by their extensions (e.g. *.cgi, *.exe, *.pl). Ask your provider what would be the best solution for you.