I don't think your going to find a way for NextGen to grab images off of an external site.
Do you own the site? Grab the pictures from there to make it easy for yourself. If you don't, it isn't really very nice to "leech" images from another site. It can even be illegal.
Why do you want to add the grab the pictures from another site?
There is a caption template, which can be used like so (replace * with the gallery id you want to display):
[nggallery id=* template=caption]
The caption will be taken from description portion of the image data. You can actually stuff html and just about anything you want in there too.