I don't understand then, if I see the file in this directory, why it doesn't display an image. Unless the file that is there, aptly named php_captcha.php, contains the 404 data?
However, the code that is returned for that file is the HTTP code 404, which tells me that is a true 404 error page, and something has gone terribly wrong in the upload process of that file. You could try re-uploading, but I am confused as to why it's present in the directory, and then you when you click on it the server informs me that it's absent.
For that to work as expected, it needs to return as HTTP code 200, to start with, and also have the content type as an image: JPG, GIF, et cetera. It's not even accessing the GD library as it stands.
The man who comes back through the Door in the Wall will never be quite the same as the man who went out.