In a recent post to his blog Sankho Mallik has posted a quick tutorial on using the Zend_Captcha component of the Zend Framework in your forms.

Zend Framework has a set of great classes included to take away a lot of the headaches involved with setting up a CAPTCHA system. The one I use is Zend_Captcha_Image, which creates an image for you and sets up a Session so you will be able to validate all information appropriately. Problem is, there's little documentation out there on this. [...] I'll show you everything you need to know to use Zend_Captcha_Image WITHOUT Zend_Form! If you'd like to learn the implementation using Zend_Form, please visit Robert Basic's Blog.

He follows the steps you'll need to get the component set up - checking for GD installation, making the CAPTCHA image folder - and includes some sample code in the form of a generateCaptcha and validateCaptcha methods to make it all work.