How do you put an image in the caption space under ur pics?

how do you put an image in the caption space under ur pics? like i have photobucket but id like to know what code i use to put in the caption box like is it Email %26amp; IM Direct Link HTML Code IMG Code? what one of them is it?How do you put an image in the caption space under ur pics?
%26lt;img src=';link to image';%26gt;