Add a caption to your zoomed image by using the title attribute in the <a> tag.
Open up your /content/skins/flat/product_style$.html file, where $ is equivalent the product style you are using (1,2,or 3) .
Example code:
<a href="{$product.image}" width="{$product.image_width}" height={$product.image_height} class="MagicZoom" title="Hey! This is a caption!"><img src="{$product.preview}" style="border:0px;padding:0px;margin:0px 0px 0px 0px;" alt="{$product.title|htmlspecialchars}" title="{$product.title|htmlspecialchars}"/></a><br>
