Do the image filenames also appear in the workbook? If not, it's impossible to guarantee the captions will be assigned to the correct images. Either way, you'll need to tell us the:
• document path;
• image path;
• workbook path & name;
• worksheet name; and
• the columns the data are to be found in.

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Cheers,
Paul Edstein
[Fmr MS MVP - Word]