I'm not planning on adding a login page, as SharePoint already comes with one.
Adding a captcha to the login page sounds like a strange requirement. There is one on the registration page, to prevent users from being registered. But for the login, you need your password to get in - so I can't see a need for a captcha. There are settings
on the membership provider that will lock out the user if they have X failed login attempts in X minutes.
As for doing it yourself - i'd just start with the existing sharepoint login page and modify it. I do think you'll need server side code though, so you will need Visual Studio.