Below the CAPTCHA..
For those who see a "warning window", does it say below the CAPTCHA....
'Our systems have detected unusual traffic from your computer network. This page checks to see if it's really you sending the requests, and not a robot. Why did this happen?
IF so, also see "Unusual traffic from your computer network "
Or this thread titled, "I need to fill out a CAPTCHA to search Google" which points to your ISP.:
IF not...it would help to know which version of IE it is. And if it occurs using another browser.
Best of luck ..