Okay it just so happens there is another post on this subject. But anyway. What happens is if any extra files are in the captcha folders it causes a problem. This is due to what ever ftp program you use. Some times a extra folder or file is placed and it causes a problem. Check if you have something other than the default files. (Frontpage extensions,Log files,note files,etc).
Delete them.
BTW
HERE is one post of a few with the problem.