The full configuration is here, let's explain it later.

server {
    listen       80;
    server_name  example.com www.example.com;

    charset utf-8;

    access_log  logs/example.access.log  main;

    location / {
        root   /home/yeegt/yiigt;
        index  index.php;
        try_files $uri $uri/ /index.php?$args;
    }

    location ~ ^/protected/ {
        deny  all;
    }

    location ~*.(js|jpg|jpeg|gif|png|ico)$ {
        root /home/example/yii-app;
        expires 356d;
        add_header Cache-Control public;
    }

    location ~ \.php$ {
        root           /home/example/yii-app;
        fastcgi_pass   127.0.0.1:9010;
        fastcgi_index  index.php;
        fastcgi_param  SCRIPT_FILENAME  /home/example/yii-app$fastcgi_script_name;
        include        fastcgi_params;

        set $path_info $request_uri;

        if ($request_uri ~ "^(.*)(\?.*)$") {
            set $path_info $1;
        }
        fastcgi_param PATH_INFO $path_info;
    }
}