If you are using Chrome, on the top right of your address bar. There is a shield symbol. Click on it and choose "Load unsafe scripts" and there you have it.
I don't know how to do it on Internet Exlorer though. Thankfully I'm an IE noob.
This is happening because the captcha script is being loaded from an outer source. Thus browsers think this is a compromise of SSL in terms of security.
You're welcome. I just pointed out some already existing solutions.
I ran into most of these problems myself as well. I had to re-install the whole system ~10 times to finally get a hang of it. It's a good piece of software but making it run may take some time and painkillers. :D