Probably the simplest way to achieve this woud be to configure things where the Genie was recorded along with the rest of the project. This would almost certainly mean that you would be recording in Full motion capture mode.
The only other way I could fathom it would be to somehow record where you might create a FLV file of the Genie that has a transparent background. Then you could drop that onto a Captivate slide.
Hopefully another author will offer a better suggestion. If I make any discoveries I'll try to update the post.
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You couldn't embed it into Captivate's .swf file directly, but I think you could invoke the Agent Characters using scripting code to manipulate the character in the HTML page that "hosts" the Captivate movie. I used to use the Agent a lot, but haven't in a long time. Give it a try. "Peedy, where are you?"
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LOL, I think the Genie put a hex on the Wizard and made Peedy go poof!
Silly poofy Peedy!