Next press Ctrl+H to display the Replace tab of the Find and Replace dialog box. You should be able to see what the field codes look like for your captions examine one to see how it is constructed, looking specifically for the text you want to change. (Automatic captions are implemented through the use of fields in the document.) You can change the text in the fields by first displaying the field codes in your document (press Shift+F9).
'If you want to change some of the text in the captions, you need to modify the fields used to create the captions.