Just for newbies, PHP 5.2.x has built in GD support, but you have to un-comment the “;extension=php_gd2.dll” line by removing the “;” from the beginning of the line. Save, restart your web server services (you have to restart IIS – unsure about Apache), and you’re in business.
You will have to re-upload the images which you uploaded prior to making this change in order for WordPress to create thumbnails for them.
If you do not own your webserver, this will have to be done by your hosting company – if they are willing.