First you should install Droid Explorer to Install Z4root v1.3.0 via usb cable to root your Captivate.
Second you download SGS unlock pro v1.3 to install on it and run it to unlock your phone.
Before do this, you must turn on "USB debugging" of your Captivate:
Settings\Application\Development\Check the box for USB debugging
and then you can plugin cable on your computer to connect your phone.