Make sure than in the Windows Start menu, Control Panel, Scanners and Cameras, <camera name> properties (right mouse button) the Events is set to Take No Action.
This is very important and needs to be set for each USB port. So if the camera is connected to a different USB port you need to check and reset this settings.
Also make sure .net 2 framework is installed (you can check this in the add or remove programs control panel)
Make sure the path where CanCap is storing the images to is the same where the directory monitor is looking at (from EyeCap 4.6.* use the default setting)
If you use the EOS 20D with the CanCap setup it is important that you use the latest firmware on the 20D if you do not use CanCap then install firmware 1.1.0
Also make sure the image format in the EOS camera is set to JPG, EyeCap does NOT support the RAW format.
For the EOS 40D/50D use EyeCap version 5.0.21 or newer.