Maybe something like
Code:
Sub Macro1()
Dim oCell As Cell
Dim oShape As InlineShape
With ActiveDocument.Styles("Caption").Font
.Name = "Arial"
.Size = 9
.Color = wdColorAutomatic
End With
For Each oCell In Selection.Tables(1).Range.Cells
If oCell.Range.InlineShapes.Count = 1 Then
Set oShape = oCell.Range.InlineShapes(1)
oShape.Range.InsertCaption _
Label:="Figure", _
TitleAutoText:="InsertCaption1", _
Title:="", _
Position:=wdCaptionPositionBelow, _
ExcludeLabel:=0
End If
DoEvents
Next oCell
lbl_Exit:
Set oShape = Nothing
Set oCell = Nothing
Exit Sub
End Sub