Bullets and Numbering options in InDesign aren’t just for boring lists. You can auto-number items like captions, even incorporating prefixes like figure labels. Depending on how your document is set up, there are two ways to achieve this. Both involve setting up a paragraph style that incorporates numbering from the Bullets and Numbering feature. Generally I create a temporary text frame—often on my pasteboard—and set some items to create my style, pasting the text into my actual caption frames after the fact.
Place the insertion point in the paragraph and choose Restart Numbering from the context menu or choose Type > Bulleted And Numbered Lists > Restart Numbering. In normal lists, this command assigns the number 1 (or letter A) to a paragraph and makes it the first paragraph in a list. In multi-level lists, this command assigns the first lower-level number to a nested paragraph.
Another fan of Fusion Pro Desktop here. This is exactly what you need. We have sold both PrintShop Mail and Fusion Pro Desktop for this very application (numbering) and other VDP applications. Fusion Pro Desktop easily beats PrintShop Mail from both a price and performance viewpoint. You could also try Printer's Bench http://www.elkriversystems.com/ProductsList.aspx for a good entry level package