How to create instructions (manuals) for a specific device?

I certainly wouldn't recommend it, because it'd be a slow and finicky approach to creating this kind of content. But you can set up buttons in Captivate (e.g. words, transparent buttons on top of words) that can reveal hidden content. I'm not sure about the animated elements (e.g. flashing arrows), but it might be possible with .oam files exported from Edge Animate.

The UX and navigation isn't possible, though. You'd have to assemble a multi-slide structure with some sort of persistent navigation. Again, it would be a pretty slow way to create this. Building from the ground up in HTML is the way to go.

The example in your link is NOT created with Captivate.  It looks to be a custom-built website with links to other instruction pages that are also coded in HTML.  The examples of the instructions seem to be just static screen shots of the phone interface with an flashing arrow pointing out the part where the user would need to click.

If you want to create this type of content, you'll need to either learn website development and use Adobe Dreamweaver to build them, or else engage the services of someone who can.  (Most 14 year old boys are fairly proficient in this area.)