Once the script to generate captchas is set up (see previous post) this can be easily tied into a Python web page. This assumes you are using Werkzeug and Mako, but I'm sure Django/Pylons with Jinja etc won't be too different.
In making this website and in my 4th year honours project I implemented a captcha (which you can see if you try and make a comment). I thought this would be a bit of a nightmare to do, but with Steven's help and the awesomeness of Python, it was quite easy. The code originally comes from here, but I have made a few edits such as keeping the image in memory.
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