Do you, perhaps, want to group the two items?
Select both, then press Ctrl-G (or menu Modify > Group).
I think they need to be on the same layer to be grouped.
You're great for helping like you do!
I thought that there may be a 'deeper' way of grouping within a group. So I think I'm looking for something that doesn't exist and therefore the question - I'm noobish so this might be ridiculous in the long run. I have the png file setup initially with 2 layer groups of text and images. As I added captions to some of the images, I moved those text layers into the images set/group. Then, I wanted to group the image with the caption text but now it seems it doesn't really dig down to that level.
So, I guess the only way to do what I want is to create a group or layer set for each captioned image unless there is a way to do it the way I want with a sub-grouping...
Hmm... You sound like you're coming from Photoshop. In Photoshop, each object is its own layer. In Fireworks, objects are objects (bitmaps, vector shapes, text), but they are arranged in layers.
Grouping is used to combine/associate objects (non-destructively) so that they can be controlled as a single object. (You can move, transform, set blending modes, and so on.) You can group multiple times. You can group a single object with an existing group or you can group multiple groups.
Layers are often used to organize related objects. For example, when I make a Web layout, I'll often make layers for header objects, navigation elements, content place-holding items, footer objects, and background objects. Within each layer, I may have objects I alternate between. I may turn the visibility of layers on and off. I may turn the visibility of individual objects in a layer on and off.
Depending on your version of Fireworks, there is such a thing as a sub-layer. I know CS3 has it, read the tool tips on the folder-like icons at the bottom of the Layers panel. I haven't found a need for it, myself. It might be what you're looking for, though.
If you have a layer of bitmaps and text captions, you can certainly select the bitmap and its corresponding caption (click one object in the Layer panel then Ctrl-click the other object) and group the two objects. You may have many such groups on this layer. For example in this FW .png, there are three groups (rectangle and text object pairs) and one pair that is not grouped:
Save the image to your computer, open in Fireworks, and see if grouping is what you want.