Your ability to apply a style to every caption in a document depends on whether or not the existing captions are all of a differentiated style. If, for example, they were all just typed in without a style selected, they will be Normal, as is, presumably, the rest of your document, in which case you have no way of selecting them unless each starts with the word Figure or similar. Depending on other factors in your document, that could possibly allow you to apply a macro that that would select just those sentences and apply the style your want.

However, if your captions are all some style that only the captions have, no matter what it is, you can use Find and Replace to replace a style. Instead of entering text into the Find and Replace fields, use the Moe drop-down in the Find and Replace dialogue box, select Format, and then Style. Select the existing style for Find and the one you want for Replace, and press Replace All.

Best,
Ulodesk