I have sigpro and the captions are working perfectly for the thumbnails but they simply don't appear in the popups.
I am using lytebox but I have the exact same problem with all the popup engines. I tested.
I have complete control over the server which is Cent OS5.
Permissions appear to be fine (as far as I know).
I edit the en-GB.labels.txt in Ultra Edit and upload using WinSCP.

Joomla Version  Joomla! 2.5.3 Stable [ Ember ] 15-March-2012 14:00 GMT
Joomla Platform 11.4.0 Stable [ Brian Kernighan ] 03-Jan-2012 00:00 GMT
PHP Version 5.3.14
Web Server  Apache/2.2.15 (CentOS)

Do you know what settings I made that may have caused this?

Example: www.eapu.eu/index.php?option=com_content&view=article&id=92&Itemid=513

Make sure that you use K2 and SIG PRO latest versions.
Make sure that your settings for captions in SIG PRO, K2 category and K2 item are correct.

Thank you Katia.
Could you please point me to the instructions for the correct settings for captions in K2 category and K2 item?
I didn't realise it was necessary to set anything specific in K2 for SIGPRO.

There is the Image caption option
in K2 Item view option and in K2 Category options too.

SIGPRO Version 2.5.7 default is set to "Read contents of caption files" which, presumably, is why they appear perfectly against the thumbnails. I can't see any setting other than that one in SIGPRO.

K2 (just upgraded to version 2.5.7) is installed but there are no categories or items set up in it yet.
I see no difference from upgrade but could K2 be interfering in some way with SIGPRO?

Latest: If you go to www.eapu.eu/index.php?option=com_k2&view=item&layout=item&id=1&Itemid=529
You will see that I have created a K2 page with the Medals gallery in it.
Click on any of the three images to see the pop-up.
The result is identical to the Joomla page - no captions.

Analysis:
1. Thumbnails work exactly as expected/wanted
2. Captions not displaying problem exists only in pop-up.
3. Captions in pop-up don't display in any browser - IE, FF, Chrome or Safari.
4. Navigation doesn't display in IE but displays in FF, Chrome and Safari.

I now suspect the problem may be a javascript clash.
What do you think?

I thought you used K2 gallery tabs for your galleries...
However, may I ask what is the structure you use for writing the captions in your txt file?

Sorry for the delay in replying, I was on holiday and am just back.
One of the en-GB.labels.txt files is attached.
It was produced in Ultra Edit and the results can be seen at;
www.eapu.eu/index.php?option=com_content&view=article&id=93&Itemid=514
Hope this is helpful

Rename your file to labels.txt  please and try to remove the html you use inside the captions.

Sorry Katia, tried every variation I could think of (including wrapping the html in DIVs) but it made absolutely no difference.
I am still convinced its a Javascript clash of some kind.
Here is a bit of source from the actual popup;
<div id="lbDetails">
<span id="lbCaption"></span>
<span style="" id="lbNumberDisplay">Image 2 of 3</span>
<span style="display: none;" id="lbNavDisplay"></span>
</div>
<div id="lbBottomNav">
<a href="#" class="grey" id="lbClose"></a>
<a style="display: none;" href="#" class="grey" id="lbPause"></a>
<a style="" href="#" class="grey" id="lbPlay"></a>
</div>
It looks to me like everything is correctly formatted and the Javascript is inserting the correct content into the lbNumberDisplay span but not into the lbCaption span.
That's as far as I have got at the moment.