Thank you for all your help.
"How to add a caption to a picture that does not use the "In line with text" wrapping style option for pictures in a Word or Mac document." Is the description of my problem. Here is a link to the article.
http://support.microsoft.com/kb/894029 The cross reverence "works," but it selects the caption textbox. I just want it to go to the caption; without revealing the textbox. I must be doing something wrong; because I can't get the results in the article.