Hi KevinAFL and welcome to our community
Unfortunately, Captivate wasn't designed to capture video
like this. You might be able to capture the video separately or
possibly locate it in your internet cache and add it as a separate
item. But that largely depends on the format of the video. If it's
a .SWF, .FLV or .AVI you might have luck. Otherwise, another option
would be to use Flash (assuming you have it at your disposal and
know how to use it) and export from Flash as .SWF for inclusion in
your Captivate movie.
Hopefully others will add to this with more or better
suggestions.
Sincerely... Rick