If the text you're loading in from your XML file needs basic HTML formatting (like italics, bold, or line breaks) you may add those by wrapping your text with the applicable HTML elements encoded as character entities. For example, to create bold text:
caption="<b>This is my bold text</b>"
Ditto for italic. You'd use "i" instead of "b" above.
If you wanted to insert line breaks, you'd do so with encoded break elements, like so:
caption="This is line one<br>This is line two"
As for hyperlinks using an anchor tag (<a>), we do not recommend them. Reason being, the SlideShowPro Player will not style the link text differently (to show its a link), and the anchor link will cause mouseover issues with captions using a rollover appearance.
Also note that you may use basic HTML in more than just captions -- you can also use them with titles, album titles, album descriptions, and audio captions.