Captions on images can not be formatted (color, font, link, and so on). They are always black. If you insist on colored captions, the only way to do it now is to use tables.
Also review how to upload images:
(The screen shots look different because that was made for an earlier version of WordPress, but the procedure is the same. Type your captions when you insert your images.)
Or add captions via the media library:
Note that some of your captions, even though they appear normal, are pseudo captions. This one, for example:
<div id="attachment_141" class="wp-caption aligncenter" style="width: 210px"><img class="size-medium wp-image-141" title="IMG_2691" src="http://suffolkpunchaustralia.files.wordpress.com/2009/07/img_2691.jpg?w=200&h=300" alt="And same part-bred foal at five months of age" width="200" height="300" /><p class="wp-caption-text">And same part-bred foal at five months of age</p></div>