Closed Captioning is not available in Captivate until you add
a sound file. The thought is that you add a sound file containing
audio narration. Then you may add Closed Captioning.
Once you add a sound file to a slide (tap the F6 key and you
may add a sound file) you should see a Speaker icon on the slide in
the Film Strip. Click the Speaker icon and the menu that appears
should list Closed Captioning.