I do have a same problem and did follow all above step by step codes and still having same problem.
I also have this ....blogdemo-enhanced application installed and it shows image on that form and I did compare word by word in all ...Model..Controller..Views but still image doesn't show up on my another application Comment Form.
But there is one thing on my blog application Contact form the image shows up but on Comment Form doesn't.
I spend the whole day to find it out but finally give up...
Any other reason where I'm missing some thing.
An early reply will be appreciated.
Finally I just did figure out why Captcha image doesn't show up on my comment form as I did follow step by step code in Controller, Modell and View.
The problem I found out in urlManager'=>array(...) in main.php file I just disable the entire block and wola it works then I manage my URL the way I want and then enable urlManager'=>array(...) and now every things working fine.
So make it sure that your URL are ok as still I didn't gone through in deep in this problem as why it happened so make also sure the above post solution as it also caused by with some guys.