Yes, try adding the full path name to the two lines near the top of the oj.cgi file where it says:

require "oj.cfg";
require "auth.pl";

Make those:

require "/home/mydir/cgi-bin/oj.cfg";
require "/home/mydir/cgi-bin/auth.pl";

and that should fix it. Also, if you continue to get permission error messages, you may have to chmod 777 on your cgi-bin parent directory and the html parent directory as well. This has been elaborated on in the install section of the oj.cgi file, and on the OJ homepage.