Hi there - I'm not particularly familiar with the internet lead capture page from CRM online, but I'm going to assume you're planning to build an ASP.NET page to act as your landing page. If that's correct then the best place to start would be the SDK walkthrough
for building web apps that access CRM data. See http://msdn.microsoft.com/en-us/library/gg695790.aspx
Once you have built your web app, its simply a case of updating the sitemap to create a node that points at the url of your start page. See http://msdn.microsoft.com/en-us/library/gg309259.aspx for
details of this or use the exellent sitemap editor tool from codeplex: http://sitemapeditor.codeplex.com/
Your users can then set this as their default landing page.
Hope that helps!
Regards,
Paul
Paul Dowman, CRM Developer