Colubrid is WSGI compatible, which means that you can run your applications on every server that supports WSGI. And usually each server supports either FastCGI or CGI.
The first thing you have to do is to install Colubrid in the $PYTHONPATH. If you have root access on the server, you can do that using easy_install:
easy_install Colubrid
Now Colubrid is installed system-wide and each application can import it.
If you don't have root access, you can download the .tar.gz package from the Download Page and unpack the colubrid folder somewhere in your $PYTHONPATH, for example the directory your application is located in.
For information about installing your WSGI application, have a look into the manual of your WSGI wrapper.
Here a list of supported wrappers: