When you open the Captions dialog, click the drop-down arrow in the Label field, click a new label, and the caption in the Caption field above updates. Type the text of your caption, and then select OK.
When the list of labels gets out of hand...and it will, you can select a label and delete it.
Deleting a Label
Select the label in the Label drop-down list, and then click the Delete Label button. Word removes the label from the list. When you open new documents, the label won't appear in the list. Note that you cannot delete the default labels: Equation, Figure, Table.
We still have more to do with labels...lots of fun to come.