A family of Microsoft word processing software products for creating web, email, and print documents.
Insert the citation in a separate paragraph in a different style (not Caption), then use a style separator to join the two paragraphs into one. The article at http://support.microsoft.com/kb/285059/en-us explains how to use the style separator. It suggests adding the Style Separator button to the Quick Access Toolbar, but you can also use the keyboard shortcut Alt+Ctrl+Enter to insert a style separator. The portion of your caption that is in the Caption style will be included in the Table of Figures or List of Tables; the portion that is in the other style (you could create a Citation style that has the same formatting as the Caption style) will not.