I just learned how to make your slideshow look like a slideshow instead of a static picture AND how to add captions.
1. when installing on the page, choose ImageBrowser, not Slideshow. And then it will look like it does on the demo page second option
2. to add captions for the slideshow, not the thumbnails, enter them in the description field when you're managing the gallery. you may do this for thumbnails, too, i don;t know, i don;t work with them.