It is likely that pretty much everyone who views this thread doesn't have the same version of Word as you. Most users of Word are using Windows and the fact you are using a version that is 12 years old puts you in a very thin demographic. The Mac version of Word is a poor cousin of the Windows version and features that Windows users take for granted don't appear in the Mac version.
But all is not lost, there are plenty of resources to help you insert captions in Mac Word
Let me google that for you