First thing that you need to do is go to Project > Skin editor > and check the box for Closed Captioning button in playbar.
A slide must have a slide audio or Slide Video to add CC notes in it.
Go to Windows > Slide notes, to view the slide notes panel, and click on + sign to add Closed captioning notes.
Please check this article to add CC in project: http://helpx.adobe.com/captivate/using/slide-notes.html
Check this article for accessibility in Captivate : http://help.adobe.com/en_US/captivate/cp/using/WSc1b83f70210cd101-157ec7f211c7ef6052c-7fff .html