SQL-Server - Internet-Server - Delphi 2.0

We use the MS SQL-Server 6.5 on a NT-Server4.0 and the MS Internet
Server (IIS Vers.:3.0) on an other NT-Server.
Now we want to build a dynamic SQL-Query with a CGI-Script in Delphi
Our program works (it runs on the IIS NT-Server-machine) very well if we
build a basic Window-program.
If we build an CGI-Sript and runs it (local on the IIS NT-Server) we get
an Error in the Browser:
This is a german error-message with the follow meaning:
The CGI-program wont be executed corectly. It had not returned the
komplet HTTP-Header. The returned Header is:
Exception EDBEngingeError in modul >myprogramm.exe< bei 000459e4.
sql-error [Microsoft][ODBC SQL Server
Driver][DBNMPNTW]ConnectionOpen(CreateFile()). Alias: myalias

We use the 'TDatabase'-componet with the property 'LoginPromt'=False
because we don't want any login prompt.