Ah, well looking at your site it appears that your thumbnails only link to the image itself. To put captions underneith them (or anything else on the page for that matter) you will need to create a page to display the image and show the image that way. So instead of linking to a JPG, you're linking to another HTML page.
Something like this:
HTML Code:
<!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Strict//EN"
"http://www.w3.org/TR/xhtml1/DTD/xhtml1-strict.dtd">
<html xmlns="http://www.w3.org/1999/xhtml">
<head>
<title>Image Gallery - Photographs of Heysham</title>
<meta http-equiv="content-type"
content="text/html; charset=iso-8859-1" />
<meta name="author" content="David Gray" />
<meta name="keywords" content="Heysham, Heysham images, Heysham photographs, St Patrick's Chapel images, St Peter's Church images, rock-hewn graves" />
<meta name="description" content="Images of Heysham" />
<meta name="date" content="01-09-2006" />
<meta name="copyright" content="David Gray" />
<link rel="stylesheet" type="text/css" href="heysham.css" />
<link rel="stylesheet" type="text/css" href="print.css" media="print" />
</head>
<body>
<div id="header">
<h1>HEYSHAM - a history</h1>
</div>
<div id="content">
<h2>Images of Heysham</h2>
<p><strong>Here is the detail image:</strong></p>
<img src="gallery/heysham001.jpg" alt="Heysham Village" /><br />
Heysham Village
</div>
<div id="nav">
<ul>
<li><a href="index.html">Home</a></li>
<li><a href="history.html">Heysham History</a></li>
<li><a href="stpeter.html">St. Peter's Church</a></li>
<li><a href="stpat.html">St. Patrick's Chapel</a></li>
<li><a href="references.html">References</a></li>
<li><a href="contact.html">Contact Me</a></li>
</ul>
<h2>Links</h2>
<ul>
<li><a href="http://www.htnw.co.uk/HHA.html">Heysham<br />Heritage Association</a></li>
<li><a href="http://www.heyshamonline.co.uk/">Heysham Online</a></li>
<li><a href="http://www.heyshamparish.org.uk/">Parish of Heysham</a></li>
</ul>
</div>
</body>
</html>
Then change your thumbnail links to reflect the new files, linking to the detail image and not the JPG.
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