Assuming the webserver is configured to handle .exe, Can i compile a python CGI file into an exe for speed.  What would some pros and cons be to such a desession?
You probably don't want to run Python as a CGI if you want it fast. Look at proxies, mod_python, WSGI or FastCGI, as those techinques avoid re-loading python runtime and your app on each request.
Compiled Python CGI