Oh, and since it's not "Pro" level software, it actually limits you to 1 caption at a time in any given timeframe.. (If you have a caption showing for say 7 seconds, only one caption can be added for that 7 seconds.)
There is a way around that though..
Set up one set of captions throughout your movie. then export it to a new movie.
Then edit it again by opening that exported movie (with first round of captions), and adding another set of captions. (Can't edit the previous ones now though..)
I'm thinking a better video editing software is what you really want, but again, just ways to do what you want with what you have..
I do this a lot with Movie Maker, but I need multiple captions so infrequently I just put up with the limitations.. I can't justify the extra expense for my situation.
I did manage to find a video describing the exporting and adding more captions..
He's a little tough to follow at first, but it becomes clear what he's doing and it's pretty much what I do when I need more than one caption (arrow and text, or multiple text) in the same timespace in a particular video..
Again, I hope it helps if you choose to continue with Movie Maker..