You have to look for the file with extension 'RDL' in the language you want to change styles. Open this file with Notepad and you'll be able to change the default Text Captions to your wishes.
To expound on Lilybiri's correct advice...
I though it may be helpful to know exactly where you look for these beasties. You need to look in the folder where Captivate has been installed. The folder will actually vary, based on your operating system as well as the version of Captivate and whether it was installed as part of a suite.
For exsample, in my old laptop I was running Windows XP Professional. On that system it was just C:\Program Files\Adobe\Adobe Captivate 4. But on my new laptop I'm running Windows 7 Ultimate 64 bit. On this PC the path is C:\Program Files (x86)\Adobe\Adobe Technical Communication Suite 2\Adobe Captivate 4.
Additionally it's worth mentioning that before you make any actual changes to the RDL file, you should first make a backup copy in case you ever need to revert to original settings.
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Thank you to both of you - this was very helpful