Unwanted text box around numbering

[Wendy]

I am adding numbers below screen shots in a document. E.g. Figure 1.
Sometimes this will display with a box around it and I can't understand why.
Each time I delete the numbering and put it back, it will still appear in a
text box. Very frustrating.

 

[grammatim]

How are you adding the numbers?

 

[Wendy]

I'm using Word 2007.
Yes, Word placed the caption label and number in a text box below the image.
It still happens even if I click enter and try to insert the caption and
number a few lines below the immage.