PHP on virtual directories

I need PHP to run a script in a directory located on a computer different from the web server where PHP is. I added the remote directory as a virtual directory in IIS. I can only see this: "CGI Error the CGI application misbehaved by returning an incomplete set of HTTP headers: the headers it sent are:" (I don't remember exactly, maybe I lost some word) Nothing follows this phrase, that is, I don't see any header. Can PHP execute scripts on shared dirs? Problems of permissions? What does it mean "Virtual directory support enabled" in phpinfo()? Instead, I can see static HTML pages. Using PHP 4.0.4, IIS 4.0, WinNT 4