Can someone help me get WMSGetFeatureInfo working?

I am new to Openlayers and would really appreciate some help getting WMSGetFeatureInfo working. I have tried several examples, and every time I paste it into my code, I get the same results: when I click to get the info, my mouse just turns into the waiting symbol.

I decided to try and copy the this OpenLayers example exactly: http://openlayers.org/dev/examples/getfeatureinfo-popup.html

I copied the source code and changed the sources from relative to absolute. I got it run - except I have the same problem! When I run the example from the website, I get the popup. When I run my local version (see below), when I click on the map I just get the thinking symbol. What am I missing?

<!DOCTYPE html PUBLIC "-//W3C//DTD HTML 4.01//EN">
<html>
<head>
<meta http-equiv="Content-Type" content="text/html; charset=us-ascii">
<meta name="viewport" content="width=device-width, initial-scale=1.0, maximum-scale=1.0, user-scalable=0">
<meta name="apple-mobile-web-app-capable" content="yes">
<title>GetFeatureInfo Popup</title>

<script src="http://openlayers.org/dev/OpenLayers.js">
</script>
<link rel="stylesheet" href="http://openlayers.org/dev/theme/default/style.css" type="text/css">
<link rel="stylesheet" href="http://openlayers.org/dev/examples/style.css" type="text/css">
<script>
OpenLayers.ProxyHost = "proxy.cgi?url=";

var map, info;

function load() {
    map = new OpenLayers.Map({
        div: "map",
        maxExtent: new OpenLayers.Bounds(143.834,-43.648,148.479,-39.573)
    });

    var political = new OpenLayers.Layer.WMS("State Boundaries",
        "http://demo.opengeo.org/geoserver/wms", 
        {'layers': 'topp:tasmania_state_boundaries', transparent: true, format: 'image/gif'},
        {isBaseLayer: true}
    );

    var roads = new OpenLayers.Layer.WMS("Roads",
        "http://demo.opengeo.org/geoserver/wms", 
        {'layers': 'topp:tasmania_roads', transparent: true, format: 'image/gif'},
        {isBaseLayer: false}
    );

    var cities = new OpenLayers.Layer.WMS("Cities",
        "http://demo.opengeo.org/geoserver/wms", 
        {'layers': 'topp:tasmania_cities', transparent: true, format: 'image/gif'},
        {isBaseLayer: false}
    );

    var water = new OpenLayers.Layer.WMS("Bodies of Water",
        "http://demo.opengeo.org/geoserver/wms", 
        {'layers': 'topp:tasmania_water_bodies', transparent: true, format: 'image/gif'},
        {isBaseLayer: false}
    );

    var highlight = new OpenLayers.Layer.Vector("Highlighted Features", {
        displayInLayerSwitcher: false, 
        isBaseLayer: false 
    });

    map.addLayers([political, roads, cities, water, highlight]); 

    info = new OpenLayers.Control.WMSGetFeatureInfo({
        url: 'http://demo.opengeo.org/geoserver/wms', 
        title: 'Identify features by clicking',
        queryVisible: true,
        eventListeners: {
            getfeatureinfo: function(event) {
                map.addPopup(new OpenLayers.Popup.FramedCloud(
                    "chicken", 
                    map.getLonLatFromPixel(event.xy),
                    null,
                    event.text,
                    null,
                    true
                ));
            }
        }
    });
    map.addControl(info);
    info.activate();

    map.addControl(new OpenLayers.Control.LayerSwitcher());
    map.zoomToMaxExtent();
}

</script>
</head>
<body onload="load()">
<h1 id="title">Feature Info in Popup</h1>
<div id="tags">WMS, GetFeatureInfo, popup</div>
<p id="shortdesc">Demonstrates the WMSGetFeatureInfo control for fetching information about a position from WMS (via GetFeatureInfo request). Results are displayed in a popup.       </p>
<div id="map" class="smallmap"></div>
<div id="docs"></div>
</body>
</html>

Solution

I figured out what I was doing wrong with my example. I changed the SCRIPT and LINK references from relative to absolute, but I left the following unchanged:

OpenLayers.ProxyHost = "proxy.cgi?url=";

When I changed it to:

OpenLayers.ProxyHost = "http://openlayers.org/dev/examples/proxy.cgi?url=";

The example worked just fine from my PC.