You might have a theme where "comments.php" is coded incorrectly. WordPress version matters.
(WP2 series): Make sure that you theme contains a tag
<?php do_action('comment_form', $post->ID); ?> inside the file /wp-content/themes/[your_theme]/comments.php.
Most WP2 themes already have it. The best place to put this tag is before the comment text area, you can move it up if it is below the comment text area.
(WP3 series): WP3 has a new function comment_form inside of /wp-includes/comment-template.php.
Your theme is probably not up-to-date to call that function from "comments.php".
WP3 theme does not need the code line
do_action('comment_form'… inside of /wp-content/themes/[your_theme]/comments.php.
Instead it uses a new function call inside of "comments.php":
<?php comment_form(); ?>If you have WP3 and captcha is still missing, make sure your theme has
<?php comment_form(); ?>inside of /wp-content/themes/[your_theme]/comments.php (please check the Twenty Ten theme’s "comments.php" for proper example).