The error message

When a user fails to enter the CAPTCHA correctly, an error message is displayed on the page (via the $api->displayPostFormCaptchaError() method).

To change the content or the style, all you need to do is pass a single field containing whatever HTML you wish to appear. For example:

<?php
$error = '<div class="error">Error! Please re-enter!!</div>';
$api->displayPostFormCaptchaError($error);
?>

This passes some HTML wrapped in an .error class. You can define whatever CSS classes you want and pass in the custom HTML.