I have also been struggling with this module.
I have not gotten too far yet as trouble hit me from the beginning.
The Captcha will not show on any browser. I have checked http://www.shape5.com/component/option,com_smf/Itemid,75/topic,21647.0/
and performed the changes, I also checked the sticky and my host (Siteground) does have GD support (GD Support enabled
GD Version bundled (2.1.0 compatible) ).
Also, the whole module does not show correctly on IE.