The "detailed Linux/Unix installation instructions" at:
http://www.movabletype.org/documentation/installation/detailed-instructions.html
say, in the section "Installing Fully Within You Web Root":
>>>
You must then add the following text to either your .htaccess file or Apache's httpd.conf file. Continuing the previous example, /path-to-movabletype would be /var/www/movabletype.org/htdocs/mt. In some cases you may also need to add the "FollowSymLinks" option depending on your web server configuration.
Options Indexes ExecCGI
>>>
There's a step missing here. In order for CGI scripts to be runnable outside of ScriptAlias directories, you have to find this line in httpd.conf:
>>>
# To use CGI scripts outside of ScriptAliased directories:
# (You will also need to add "ExecCGI" to the "Options" directive.)
#
#AddHandler cgi-script .cgi
>>>
and uncomment the "AddHandler cgi-script .cgi" line.
Otherwise, when you try running the installation wizard in Step 4, it will just serve you the mt.cgi file as a downloadable file, instead of executing it.

Reported as a bug in the docs.