Unfortunately the answer is no.
Some software will display the caption, but only on your PC screen. You can
try the free : www.picasa.com
What you can do is add text within the photo which can serve as a caption,
and the text will be permanent within the photo. A little tedious, but it
can be done with some software like Microsoft Digital Image Suite 2006. If
you decide to do this, don't do it on original files, make a copy of your
original files and do it on a copy because this added text will be permanent
within the photo file.
