Horde install error

When installing the main Horde package, the client gets this error message:

Security Alert! The PHP CGI cannot be accessed directly.
This PHP CGI binary was compiled with force-cgi-redirect enabled. This means that a page will only be served up if the REDIRECT_STATUS CGI variable is set, e.g. via an Apache Action directive.

I've tried playing with the php settings:
Apache mod_php (run as Apache's user)
CGI wrapper (run as virtual server owner)
FCGId (run as virtual server owner)

But the problem remains the same.