Your best bet for the low down on how to do this might be best found in Word’s help facility. Try searching for “add captions”.
From Word 2007, mine says:
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You can add captions to figures, equations, or other objects. You can also use those captions to create a table of the captioned items for example, a table of figures or a table of equations.
If the objects in your document are formatted as floating objects (floating object: A graphic or other object that is inserted in the drawing layer so that you can position it precisely on the page or in front of or behind text or other objects.), follow the instructions for adding captions to floating objects.
Add a caption
1. Select the object (table, equation, figure, or another object) that you want to add a caption to.
2. On the References tab, in the Captions group, click Insert Caption.
3. In the Label list, select the label that best describes the object, such as a picture or equation. If the list doesn’t provide the correct label, click New Label, type the new label in the Label box, and then click OK.
4. Type any text, including punctuation, that you want to appear after the label.
5. Select any other options you want.
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That sound like the right thing?