also, double check that the server is properly configured to save session variables by using the session test page in this thread:
if the session test fails it is likely a problem in the php.ini file with a bad setting for the session.save_path, you will need to contact the host to have the issue corrected.
I have uploaded the session test php file and the test passed. The Captcha image appears to be greyed out.
Please attached a zip file of the php page containing the form elements.
Remote server links:
Captcha image - myform10.php
SessionTest - sessionTest.php