From Geosetter open the image in Photoshop (right click on the image and select 'open with: Photoshop' - Initially you may need to set up the editing programme, in Geosetter, in order to be able do this. Once the image is open then process the image as per your normal image processing routine.
At this point the captioning is done. You should not have much work to do at the website end other than uploading the image to your web photo gallery.
There are a number of sites offering advice on how to process your image:
Kim Fullbrooks Digital Photoguide