Maybe the php package that you used is just a php-cgi without fastcgi support compiled in. If you run php-cgi -v then the fcgi binding should be mentioned in the output. example:
# php-cgi -v
PHP 5.2.6-1+lenny2 with Suhosin-Patch 0.9.6.2 (cgi-fcgi) (built: Jan 26 2009 22:35:55)
Copyright (c) 1997-2008 The PHP Group
Zend Engine v2.2.0, Copyright (c) 1998-2008 Zend Technologies
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