@ Tony & Jon,
You'll need to download the Cycle2 Caption plugin
http://jquery.malsup.com/cycle2/download/
DEMOS
http://jquery.malsup.com/cycle2/demo/caption2.php
Save caption script inside a .js file in your local site folder.
Insert > Script > Script to add it to your HTML document.
Save & Upload everything to your server.
Nancy O.