I assume you are using Windows XP or Windows Vista. You didn't say.
It looks like you think that each software stores your photos somewhere. That is not normally the case. Your photos are stored in a folder on your computer, wherever you saved them to.
The software you use just accesses that folder, (or those folders if you use different ones), to make their own list of photos, something like a media player's Playlist of mp3 tracks. The playlist is just a list. The mp3 tracks could be anywhere on the computer.
In Windows XP the operating System normally defaults saving image files to your "My Pictures" folder, accessible through your My Documents folder. Have a look in there.
I can't help you with the captions. This seems to be an option used specifically by Kodak in their software created playlists. As long as you keep that Kodak software installed, then you will be able to create/amend/delete captions for your photos. I am surprised that Kodak say the playlist cannot be exported though.
I want to consolidate my pictures and back them up.
Currently, I have Kodak Easyshare software with about 800 photos, all captioned. I tried to burn a CD but couldn't get the captions to copy onto the disc, only the images (I confirmed this limitation thru chat with Kodak Easyshare online chat). Camera broke so won't be adding more Kodak photos.
I just bought a Canon camera. I haven't loaded the Canon software yet and expect it is unnecessary
In addition, I have, somehow, photos on HP Photosmart Premier and Microsoft Office Picture Manager.
I have just downloaded Windows Live Photo Gallery freeware.
What does this newby do? As stated above, 1) I want to have all my photos under one whatever; 2)I want to back up all the photos and captions and albums; and, 3) I don't want to have to recaption the kodak photos again.
BTW, I have all this on a Compaq Presario laptop.