Regarding JDownloader:
As others have mentioned, make sure it is up to date. The file sharing sites are always changing and sometimes it takes a little while to get the plugin updated.
Also, if you are running with multiple displays, I have noticed that the captcha shows up on the primary display even if JDownloader is on another screen. In some cases it has even popped up behind other windows for me (on Windows 7).
To increase the timeout for the captcha windows go to Settings -> Basics -> User Interface -> Feel -> Timeout for input windows. But be aware that using too high a timeout value here may not work as expected since the server may time you out before the download starts.
If things aren't working, just leave the file in the queue and try to re-enable it later. Sometimes the file sharing site is just slow.