If you just need to add captions on each photo, that can be done with Paint. Build right into the Windows OS. If you want something fancier, use paint.net. Absolutely free.
http://www.eecs.wsu.edu/paint.net/
But it sounds like you want to make something more like a slide show. Have you considered Power Point? You can make a great looking slide show, and they can be viewed through Internet Explorer. Very easy to use.
Macs have some way of making slide shows, then exporting them as quicktime files. They look great.
....my god....did I just say something positive about a mac?...must check meds.......