Because you're using a domain with masking, the cookies for the session are getting rejected by IE.
You'll want to tweak your domain settings to NOT use Masking, but instead, change your DNS to point the A Records at 208.100.30.200.
This will make your domain cdguild.com, but will actually show the URLs properly (such as cdguild.com/news.php)
You can verify that this would work by having them use cdguild.dkpsystem.com as the address, rather than typing cdguild.com. The CAPTCHA will indeed work then. With masking enabled though, IE will reject third party cookies.