Same problem.
I have installed my application in some PCs but I have the problem only in the production server (the fastest).

I have some frames in my pages and I use ODBC
If I try to reload the page with the error, it works fine

I have the following problem. With Win 2000 Server NOT PHP but ACTIVESTATE PERL and ODBC connection with Sql Server.

I have noticed this strange thing and only with frames ....that connect all TO ODBC SOURCE (parent frame and son frames) : SEE LOG OF INTERNET INFORMATION SERVICES, the GET of the son frame comes firstly of get of parent frame in the CGI ERROR'S cases

I have the same set of php scripts, php 4.06 CGI running on:
1-Windows NT 4.0 with IIS4, MySQL, MS-SQL 7; this works fine;
2-Windows 2000 server with IIS5, MySQL, MS-SQL 7; this works fine;
3-Windows 2000 advanced server with IIS5, MySQL, MS-SQL 7; this works fine;
4-Windows 2000 advanced server with IIS5, MySQL, MS-SQL 2000; this still works except that a curious error occurs:
Im using a lot of Header ("location: some.php") for redirects. In this particular install, right after the call of header function, the browser still gets the right URI, but then it issues the following error (a copy again here):
<message>
CGI ERROR
CGI application misbehaved by not returning a complete set of headers.The headers that it did return are:
</message>
The funny thing was that if I refresh the page then it works just fine.

When I look back at the 4 installs, the only difference was the install 4: MS-SQL 2000. Is there anything in php_mssql that does the job with MS-SQL but has some sort of side-effect that causes the above strange bug?

Would any one from the php team spend times looking into the code? It would help us a lot. 
In the meantime, I will be testing other options.

Loi Le V.

Thank you for taking the time to report a problem with PHP.
Unfortunately your version of PHP is too old -- the problem
might already be fixed. Please download a new PHP
version from http://www.php.net/downloads.php

If you are able to reproduce the bug with one of the latest
versions of PHP, please change the PHP version on this bug report
to the version you tested and change the status back to "Open".
Again, thank you for your continued support of PHP.