How does GameCapture works? Does I start BEFORE Warcraft, or BEFORE joining a map or how is it? Are you in need of help? Drop a PM here on forums or /w Asuuriis on Europe.
Make sure all GC files are in the same folder (any folder, but as long as they're all together). If you're using Windows Vista or 7, turn down UAC and right-click run as administrator. If you don't know how to change UAC then look it up on the net. UAC = User Access Control.
GC should work on Windows XP without a problem. Also make sure your version of GC matches with your version of WC3. GCX should work with the latest WC3. If you're not using those operating systems...then I have no idea...