Make the caption as you would normally. select the text and click insert then text box, then draw text box... that should be it you will have a black box around your caption, you can change the boarder style though the text box properties menu.
select caption from the styles menu under home (usually last one, you may have to scroll down) right click on it and select modify. In the lower left click format -> borders, play with the settings there and and click ok, ok.. This however will change it for all captions