When Caylee vanished

After 30 days with no sign of her grandchild, Cindy Anthony had finally confronted her daughter, Casey, and heard a truly disturbing story. That someone named Zanny, a woman who Casey said she'd hired as an occasional babysitter, had kidnapped little Caylee.

Cindy: That's when I, you know, I panicked and I got on the phone. And I didn't care what the heck I said to get them out there.

Casey: My daughter finally admitted that the baby-sitter stole her. I need to find her.

Operator: Your daughter admitted that your baby, the baby is where?

Cindy: That the baby-sitter took her a month ago. The daugh... my daughter's been looking for her. I told you my daughter was missing for a month. I just found her today but I can't find my granddaughter. And she just admitted to me that she's been trying to find her herself. There's something wrong. I found my daughter's car today and it smells like there's been a dead body in the damn car.

Dennis Murphy: That's a very alarming bit of information for a 911 dispatcher.

Ron Stucker: That is.

Ron Stucker is chief of criminal investigations at the Orange County sheriff's office.

Dennis Murphy: Deputies arrive at the house and say, "What do you have here?"

Ron Stucker: What they find out is they're getting really mixed stories and conflicting information.

The story investigators got from Casey is that one month before, she'd dropped Caylee off with her baby-sitter -- Zenaida Fernandez-Gonzalez -- before heading to work at Universal Studios. When she returned to pick Caylee up, no one was home.

Bianca Prieto: She calls Zenaida and the phone's disconnected and she panics.

Dennis Murphy: And the child is gone?

Bianca Prieto: And the child is gone.

Dennis Murphy: And she doesn't call 911 and say, "My baby's gone." She doesn't call her parents.

Bianca Prieto: No, she doesn't call anybody. She says that she sits there for a few hours on the steps waiting, and then decides to do her own investigation.

Dennis Murphy: She's been unaccounted for more than 30 days at this point.

Ron Stucker: It's incredible --

Dennis Murphy: That's gotta be hugely unusual in this kind of case.

Ron Stucker: Incredible disadvantage for us.

That disadvantage was about to get a whole lot worse. Deputies, with Casey, in tow began looking for this baby-sitter, Zenaida. They drove Casey to the apartment where she said she'd left Caylee with the sitter. But the apartment, it turned out, had been vacant for almost five months.

Casey then led detectives on what turned out to be a wild goose chase around Orlando-- she pointed out an apartment building where she says Zenaida had lived two years ago. It turned out to be a seniors-only facility.

Then she brought them to a building where she says Zenaida's mother owned a condo -- but no one in the building knew the babysitter or her mother.

The investigators then returned to the first apartment building to go through the residents list. There was no Zenaida Fernandez-Gonzalez living there, but they did locate a Zenaida Gonzalez who had applied to rent an apartment back in June.

Zenaida Gonzalez: They called my cell phone. And then they asked me, they first asked me -- "Are you Zenaida Gonzalez?" Yes.

To this day, this Zenaida isn't sure how Casey got her name -- whether it was just coincidence, or if Casey may have come across the visitor's log at that apartment building. But Zenaida told investigators she'd never heard of Casey, and was most certainly not a baby-sitter... And the sheriff's office believed her.

Zenaida Gonzalez: I got six kids of my own, what you think, I want to bring another one into the family? I'm OK. (laughter) I have enough. I have enough.

Dennis Murphy: Zanny the Nanny.

Ron Stucker: Yes.

Dennis Murphy: Your opinion, does this person exist?

Ron Stucker: As a nanny for her baby?

Dennis Murphy: Yeah.

Ron Stucker: No, she does not exist.

Dennis Murphy: Imaginary friend.

Ron Stucker: Exactly.

Every possible lead that Casey Anthony had given investigators turned out to be a dud. The apartment where she claimed she'd dropped Caylee off -- vacant. The baby-sitter -- a phantom. And there was something else -- there was no evidence that Casey had told anyone about her daughter's disappearance over the last month.

By now, detectives were certain that Casey Anthony was spinning a web of lies. They were ready to confront her at the last stop on their Orlando tour -- the Universal Studios theme park.

With her story unraveling, Casey accompanied investigators to the employee entrance at Universal Studios, telling the security guard she'd lost her ID.

Ron Stucker: And we said, "Well, go ahead and let her in. Let's just go walk down to her office." She walked with the detectives down a hallway and just walked down looking in offices and --

Dennis Murphy: You got a breakthrough moment at that point, didn't you, Chief?

Ron Stucker: She reached the end of the hallway and she turned around. And when she ran out room -- and she said, "I'm lying to you. I don't work here."

She had once... But not for years. During a recorded conversation in a conference room at the theme park, casey broke down and confessed that she had been lying.

Police: Okay, so you purposely misled us. This was all an attempt to help find your daughter, right? That makes sense to you, correct?

Casey: Again and in a backwards sort of way, yes.

Caught in a lie but still she stuck to her original story -- that a baby-sitter named Zenaida Fernandez-Gonzalez had indeed kidnapped Caylee.

Casey: I was scared.

Police: What does that mean?

Casey: I saw my mom's reaction right off the bat and it would've been the same from the get-go.

Police: So wait a minute. So you're more afraid of your mom's reaction than you are if you ever see your daughter again?

Casey: No, I'm absolutely petrified. Absolutely petrified. I know my mom will never forgive me. I'm never gonna forgive myself because there's that chance that I might not see Caylee again and I don't want to think about that.

She forged on with her baffling logic. She'd led investigators on a merry chase to universal studios, she said, in hopes that they'd stumble upon Caylee.

Casey: I'm coming back to places that are familiar to me that I know are familiar to her. Familiar situations that maybe...

Police: What did you think...

Casey: ... just maybe..

Police: How old is she?

Casey: ... would help. She's almost three.

Police: She's almost three.

Casey: In a month.

Police: What do you think she's gonna take a cab here? I mean...

Casey: I know she's not.

Police: ... how did you think she's gonna get here?

Casey: Because she's with someone else. If I could find her if...

Police: She's with someone else.

Casey: ... I could track her down...

Police: Wait, she's with...

Casey: and this wouldn't be happening.

Police: Okay, hold on a second let's put this together where it makes sense okay. She's with someone else, whose hid her from you for five weeks.

Casey: Yes.

Police: But you brought us here today, 'cause she might be here.

Casey: She could be anywhere.

Dennis Murphy: Casey and the truth?

Bianca Prieto: Casey and the truth have a problem. You know, everything that she said almost is a complete lie, or it's not checking out. Investigators can't find anything and they tell her, "We're gonna help you, but you need to tell us the truth."

After their confrontation at Universal Studios, investigators took Casey to the county jail, and charged her with child neglect, lying to the police, and obstructing an investigation.

But her problems were only beginning. Many more charges would follow -- Casey Anthony was about to be accused of doing the worst thing a mother can do to her child.

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