Hi Karl and welcome to our community
I'd suppose this depends on how you are attempting to add the
files. If you are clicking either:
1. Insert > Multimedia...
or
2. Insert > RoboDemo Movie...
These options are intended to bring in .SWF content.
But if you need the Captivate project file in the project,
try expanding the Baggage Files pseudo folder and browsing to the
location of the .CP file. You should be able to then add the .CP
file as you wish.
Hopefully this helps... Rick