I'm sorry, I forgot to mention that I am using Microsoft 2003.

You can't group a caption (even in a text box) with a graphic unless it is
in the drawing layer. It is much easier to work with graphics if they are
inline. You can't "lock" them together, but if you format the graphic
paragraph (or caption, whichever comes first) as "Keep with next," they will
stay together in the normal course of events.

If you need to wrap text around the graphic, insert it and the caption
inline, then select both and use the Insert Frame button on the Forms
toolbar to put both in a frame. You'll need to remove the frame border
(Format | Borders and Shading), and you may need to use Format | Frame to
adjust the position of the frame.