To show a caption along the bottom of the projected image, enter a playlist comment for the image, by selecting the Add Comment option from the Projection Item menu. The caption will be shown using the Title font settings for the playlist.
Just as with any other playlist item, you can customize the font color by selecting the Customize Projection Format option from the Projection Item menu. The Title font style (font face, font size, and bold/italic/underline settings) can be changed for the entire program under the Fonts preferences tab.