How to add a hyperlink in the text caption?

There is no tru hyperlink object in Captivate as such.

You can use a button or a click box to provide users with an interactive object that when clicked will call a URL or document.

However, this doesn't really give you a mouse rollover effect the way users are accustomed to seeing in normal web hyperlinks.

If you really want to add a piece of on screen hyperlinked text (with rollover effect) to a Captivate project, the closest you'll come to it is this widget: http://www.infosemantics.com.au/hyperlink