captcha.module is the basic CAPTCHA module, offering general CAPTCHA administration and a simple math challenge.
Submodule image_captcha.module offers an image based challenge.
Installation: Installation is like with all normal drupal modules: extract the 'captcha' folder from the tar ball to the modules directory from your website (typically sites/all/modules).
Dependencies: The basic CAPTCHA module has no dependencies, nothing special is required.
Conflicts/known issues: CAPTCHA and page caching do not work together currently. However, the CAPTCHA module does support the Drupal core page caching mechanism: it just disables the caching of the pages where it has to put its challenges. If you use other caching mechanisms, it is possible that CAPTCHA's won't work, and you get error messages like 'CAPTCHA validation error: unknown CAPTCHA session ID'.
Configuration: The configuration page is at admin/config/people/captcha, where you can configure the CAPTCHA module and enable challenges for the desired forms. You can also tweak the image CAPTCHA to your liking.