Can you give more details of what "captcha" you're using? (there are
thousands out there....) Have you tried the support for the particular
script (like a help forum?). "the captcha image" doesn't really tell us
much.
Some scripts e.g. PHP script that generates the random image may require a
"GD Extension" (or something....) function installed on the server (it's a
component of PHP that may or may not be installed on your host system).
Please give the web site URL where you obtained this. If it's this one,
http://www.veign.com/code-view.php?type=web&codeid=52 then Chris Hanscom
should be able to assist you, as he wrote that particular one.
Not sure this is a Frontpage-specific problem.....?