To see any of these effect working you have to go to your profile, and then click on the pictures link there to view your pictures. It will not work / show up correctly on the page that you're editing the captions at.
The styles that you added to the pictures caption will only show up on the page with that picture on it. It will not show up on every page, if you would like to do that you'll have to edit captions of more pictures.
To put a picture as the caption
Make the white, and blue go away
To put a Background Image on the page
Make background Not repeat
(You can also have this as repeat-y or repeat-x if you'd like)
To Center the Background
Have a Background Color
Change all the Link Colors
Hide the links above the advertisment
Make the red � things go away
Change the Text Color
Make a Polaroid Effect on the Pictures
This requires the use of 2 picture captions, and make sure the first code is in a picture's caption before the second code