From what I understand, with Captivate 5 and later you'll have to use a web object for the Captivate content.
Have you seen this article already?
Adding Adobe Captivate movies to Articulate Presenter
If you are using the web object method and the web object isn't loading, it may be a different issue. Are you viewing the published output locally, by any chance?
If you view a published Studio '09 presentation on your local hard drive or send it to someone else to view on their local hard drive, you'll encounter security restrictions from the computer, web browser, Flash Player, and network that'll cause various features of your content to fail.
To properly test your published content and share it with others, upload it to the environment for which it was published. Please review the article below for more information:
Publishing and sharing Studio '09 content
Let me know how it goes :)