Sorry, but my crystal ball seems to be broken today. I can't tell what version of Captivate you are using!
On the outside chance you are using version 4, try pressing Ctrl+Alt+Z and you should see a panel open that is labeled Widgets. Inside that panel is a widget you might use. It's called Perpetual Buttons. Edit Slide 1 and click and drag that widget to your slide. Configure it to run the rest of the movie and position as desired.
Helpful and Handy Links
Oh yeah, I am using version 4. Thanks for your help and fast response!