I installed squid on my fancy new Sarge box today, and found that under
no circumstances is cachemgr.cgi actually written to disk. The presence
(or not) of a webserver has no affect.

Am I missing something simple?

# squid -v
Squid Cache: Version 2.5.STABLE9
configure options:  --prefix=/usr --exec_prefix=/usr --bindir=/usr/sbin
--sbindir=/usr/sbin --libexecdir=/usr/lib/squid --sysconfdir=/etc/squid
--localstatedir=/var/spool/squid --datadir=/usr/share/squid
--enable-async-io --with-pthreads --enable-storeio=ufs,aufs,diskd,null
--enable-linux-netfilter --enable-arp-acl
--enable-removal-policies=lru,heap --enable-snmp --enable-delay-pools
--enable-htcp --enable-poll --enable-cache-digests --enable-underscores
--enable-referer-log --enable-useragent-log
--enable-auth=basic,digest,ntlm --enable-carp --with-large-files
i386-debian-linux

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