Hi, bear with me I never used PSP8 but here goes!!
PSPX does have the term "Caption" in it's help file; It is used when you are doing a print Layout (I don't know if PSP8 has a print layout option?) but it is used if you want to arrange photo like the professional photographers do, such as kids school photo packs..
Frames, I have no clue why that is not in there!!

It's in my PSPX and I know frames are in PSP8, did you try doing a search on the term "frame" or did you just look in the index menu?
Adding Captions/text to your photo's, yes you can, add a new layer and you can type anything you want on it, move it's location and change it's size and then lower the opacity in the layers palette to make it translucent. Best bet is to use vector text so that it will not become pixelated if you decide to make it larger or smaller.
One thing to remember if you are working on your original photo and save it with this caption, it will ALWAYS be on that photo. So always make sure to save your originals like you would your negatives!!!
There are scripts that allow you to add captions to your image along with adding a frame that has a caption area, just by clicking on a script button, most of these scripts can be found here:
http://www.sheilsoft.com/psp.htm
http://www.dejudicibus.it/psl/
This are both very well documented scripting authors, but please read up on how to use and install the scripts from any of them you download!!

eg; Restricted vs. Trusted Folder.
Now also on that very first link, Howard has scripts that can create frames around any photo. You even can pick the colors, patterns, textures, lines...and size of the frame borders.
Or you can use the ones that come in PSP, I don't use them but I remember reading somewhere that you could possibly have issues with using these frames on images that are going to be very big in pixel size, such as those that come from digital cameras. Meaning that at a printed large size such as 300ppi, your frame is basically going to look cra_ppy and pixelated. So my two cents, I feel you are better off learning how to use and run Howards scripts. He has his whole script collection for sale $8.00 for 50 scripts, perfect beautiful photo's....PRICELESS!!!
Now the only other thing I am not sure if you are meaning is do you want, Picasa to add these frames and captions to your photo's automatically from PSP, while working in Picasa? If so, the answer is No!! You will have to add the frames and captions to your photo's while adding the correct amount of layers to your image and postioning them accordingly how you want them to appear when you save them using PSP.
Hope that helps and good luck, let us know if you have any other questions!
