"What do you mean by captions, for example un a formula?"
Create a Style.
Name it "Captions".
Use it only to label images, tables, or other objects which you want to list in your TOC.
For details on creating and using Styles, read Chapter 6, Working with Styles in the Pages '09 User Guide.
For details on creating a TOC (using Styles), read Using a Table of Contents, starting on page 64 of the User guide.
The Pages '09 User Guide may be downloaded via the Help menu in Pages.
Chapters 1 through 6 are highly recommended reading to all users new to Pages.