What is it capture mean I found at volume?
That is a volume slider which you can use to adjust music/audio volume (when playing music) or ringer volume instead of using the volume buttons on the side of the phone.
I mean behind the right of the slider with blue one? It's at the right bottom. what's is that?
That's used to select your output source, be it Bluetooth device, Apple TV, etc.
That's the Airplay button. See p. 30 of the User Guide.
Also, Using Airplay... http://support.apple.com/kb/HT4437
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