If your picture is wrapped, the caption will be inserted in a text box. You
can remove the border by choosing No Line on the Colors and Lines tab of
Format Text Box, but you don't want your caption in a text box, anyway,
because Word can't "see" it there, so you won't be able to create
cross-references or a table of figures. The best solution most of the time
is to insert both picture and caption inline (with whichever paragraph is
first formatted as "Keep with next"), but if you must wrap text around them,
insert both inline and then insert them in a frame.