The first step in the process is to ensure you create the Captivate project so it automatically plays. This means you don't have any objects on the first slide that pause it. (Click Box, Text Entry Box, Button) and you have ensured the Auto Play option is properly set (Edit > Preferences > Project > Start and End).
Then it's simply a matter of either linking to the Captivate created HTML page or inserting the Captivate movie into one of your existing RoboHelp pages.
Helpful and Handy Links