Last April I posted an article about connecting pictures to captions in Word 2007 (see April 14 post). Occasionally (I have no idea why) the captions and the pictures will not group together. So there is another step that needs to be taken when this occurs. Here are some detailed instructions that I found on ehow.com.
1 Insert a picture or shape by clicking the “Insert” tab at the top and making an image selection.
2 Insert text by clicking “Insert” and “Text Box” from the top menu, then typing new text into the text box.
3 Insert a new drawing canvas by selecting “Insert,” “Shapes,” “New Drawing Canvas” and resizing it to fit your objects using the sizing tabs.
4 Cut and paste your picture and text box or boxes, one by one, into the new drawing canvas. Select the items you want to group by clicking and holding the “Ctrl” key. Right-click in the canvas and select “Grouping” and “Group.”
5 Drag and drop your new group outside the boundaries of the drawing canvas. They can now be moved simultaneously anywhere on the document.
6 Select the drawing canvas and delete it, as you don't need it to hold the picture and text grouping.
(Here is the link on ehow.com:
This is a good way to attach captions to pictures or group pictures together if the regular way doesn’t work.