How to change form_set_error() message in captcha module
Check out String Overrides module. It allows you to override any translatable string (anything that uses t()) and is very convenient for overriding some text that is shipped with other modules.

If you want to do it without installing new modules - uncomment and edit this in the settings.php file (line ~458):

# $conf['locale_custom_strings_en'][''] = array(
#   'forum'      =&gt; 'Discussion board',
#   '@count min' =&gt; '@count minutes',
# );