The captcha interface uses similar technology as the dreamweaver recordset does when it reads the available tables and columns in your database... It posts a page to the server that allows it to create a sample captcha image in order to populate the preview in the bottom of the interface.
If the captcha doesn't work, most likely neither would a recordset connection. The issue is probably with your server settings. Does FTP work through dreamweaver to upload files to the remote server in general?