Hi,
I agree with
jane_fressia. It's not really important which program you use. The key to a good caption, in my opinion, is a) a good picture that is hot even without a caption b) your idea.
I myself don't use any fancy programs. I have windows XP and windows 7. Both have paint installed already and that's all you need. For all the captions I've posted here so far I used paint, nothing else. So far nobody has complained and I think it's the best if you hate computers. It's pretty easy to udnerstand and doesn't have all those (very useful but most of the time not actually needed) extra functions.
Just give it a try. I hope you're successful

greetz
cDupin