I'm confused. You have installed a comment component, but you talk about captcha the whole time. The real issue is that the comment form is not showing. If the comment form is not showing than we can't have captcha...
Anyway - I see several javascript error messages on your site. Actually there a lot of strange things happening on your site and my guess is that you have 1000 plugins that you don't know what they do...
Whenever I load your page, in the background there are another 2 request made that actually again load the frontpage.
There is also a network error for this:
"NetworkError: 404 Not Found -
lasallejerez.es/plugins/content/plg_zoom...g_zoomin/loading.gif
" and for this:
"NetworkError: 404 Not Found -
lasallejerez.es/plugins/content/plg_zoomin/plg_zoomin/blank.gif
"
You have invalid html... But my guess why it doesn't work is this here:
<script src="/media/jui/js/jquery.min.js" type="text/javascript"></script>
<script src="/media/jui/js/jquery-noconflict.js" type="text/javascript"></script>
<script src="/media/jui/js/jquery-migrate.min.js" type="text/javascript"></script>
<script src="/media/system/js/tabs-state.js" type="text/javascript"></script>
<script src="http://lasallejerez.es/plugins/content/plg_zoomin/plg_zoomin/jquery-1.8.2.min.js" type="text/javascript"></script>
<script src="http://lasallejerez.es/plugins/content/plg_zoomin/plg_zoomin/jquery-noconflict.js" type="text/javascript"></script>
<script src="http://lasallejerez.es/plugins/content/plg_zoomin/plg_zoomin/jquery.zoomy1.2.js" type="text/javascript"></script>
You load the jquery framework twice, where you should load it normally just once.
You page size is nearly 8MB! Which is huge.
My advise is - start with the switching off of your plugins untill the comment system works - you should see a comment form. Once you have this -> start to enable your plugin one by one until you find the one that creates all the mess.