While Captivate doesn't offer this functionality, one
possibility you might use would involve clicking File >
Import/Export > Export project captions and closed captions (if
you have Captivate 2) and creating a Word document. You could then
use the contents of this Word document and use something like
http://www.nextup.com/ to convert
this to .MP3 format. At that point, you could import the resulting
.MP3 file(s) into Captivate.
Yes, that avenue is a bit convoluted, but it could be used if
you were determined to follow that route.