
See Creating slideshow content: captions for instructions.
By default, the caption title uses the title data assigned to each img element in your XML file (see above link for more info). You can however populate titles with "dynamic" data, like album titles, number of images, etc. To do so, first see the API-captionHeaderText? document for the tags that are available. Then copy/paste whichever tags you want and enter them into the CAPTIONS/Header Text field in the Component Inspector. For example, "From the album {albumTitle}" would show "From the album 2009 Vacation".
Modify the CAPTIONS/Elements parameter.
Yes. Modify the CAPTIONS/Appearance parameter to "Inline", then choose either a "Bottom" or "Top" position through CAPTIONS/Position.
See the How to: External captions instructions for assistance.
Support for HTML is limited, but you can do a few basic things. See this artlcle for an overview.