I'm running a python CGI script on my localhost that needs to import and use another python module that I wrote. I placed the CGI script in the Apache cgi-bin directory (I'm running this on windows). I've tried placing my custom module in the same directory, but it doesn't seem to be able to import that module. I would prefer to not have the custom module be another CGI script that is called via exec().
You need to put your Python module somewhere that Python's import can see it.  The easy ways to do that are:  

Make a directory for the module, and add that directory to your PYTHONPATH environment variable.  
Copy the module into your Python site-packages directory, which is under your Python installation directory.

In either case, you will need to make sure your module's name is not the same as the name of some other module that might be imported by Python in your CGI script.
Using custom module with Python CGI script