Hi Paul...

I read you kind of mad... if so I sorry... I didnt name the problem because it apears in spanish I dont know how to translate it.
About your macros posted aboved I work with it trying to solve the problem. And Actually I did fix it.
But still is not MY BEST way because I dont want the images in a Table, as I posted above.
Also I tried to modified and insert more lines in the table for the extra strings I need. And it only works if I choose 1 image... if I select more it does what it should as you programm it.

as I told before this real hard for me, but Im not quitting. 

Sub AddPics()    Application.ScreenUpdating = False
    Dim oTbl As Table, i As Long, j As Long, StrTxt As String
     'Select and insert the Pics
    With Application.FileDialog(msoFileDialogFilePicker)
        .Title = "Select image files and click OK"
        .Filters.add "Images", "*.gif; *.jpg; *.jpeg; *.bmp; *.tif; *.png"
        .FilterIndex = 2
        If .Show = -1 Then
             'Add a 4-row by 1-column table with 15cm column width to take the images
            Set oTbl = Selection.Tables.add(Selection.Range, 4, 1)
            With oTbl
                .AutoFitBehavior (wdAutoFitFixed)
                .Columns.Width = CentimetersToPoints(15)
                 'Format the rows
                Call FormatRows(oTbl, 1)
            End With
            CaptionLabels.add Name:="Figura"
            For i = 1 To .SelectedItems.Count
                j = i * 2 - 1
                 'Add extra rows as needed
                If j > oTbl.Rows.Count Then
                    oTbl.Rows.add
                    oTbl.Rows.add
                    Call FormatRows(oTbl, j)
                End If
                 'Insert the Picture
                ActiveDocument.InlineShapes.AddPicture _
                FileName:=.SelectedItems(i), LinkToFile:=False, _
                SaveWithDocument:=True, Range:=oTbl.Rows(j).Cells(1).Range
                 'Get the Image name for the Caption
                StrTxt = Split(.SelectedItems(i), "\")(UBound(Split(.SelectedItems(i), "\")))
                StrTxt = ": " & Split(StrTxt, ".")(0)
                 'Insert the Caption on the row below the picture
                With oTbl.Rows(j + 1).Cells(1).Range
                    .InsertBefore vbCr
                    .Characters.First.InsertCaption _
                    Label:="Figura", Title:=StrTxt, _
                    Position:=wdCaptionPositionBelow, ExcludeLabel:=False
                    .Characters.First = vbNullString
                    .Characters.Last.Previous = vbNullString
                End With
            Next
        Else
        End If
    End With
    Application.ScreenUpdating = True
End Sub
 '
Sub FormatRows(oTbl As Table, x As Long)
    With oTbl
        With .Rows(x)
            .Height = CentimetersToPoints(10)
            .HeightRule = wdRowHeightExactly
            .Range.Style = "Normal"
        End With
        With .Rows(x + 1)
            .Height = CentimetersToPoints(0.75)
            .HeightRule = wdRowHeightExactly
            .Range.Style = "Normal"
        End With
    End With
End Sub
Also I took your code and others found in other websites how to insert images, trying to solve my problem and do it without a table and keep the part of telling the name of the image and the number.... but I havent make it work yet. Probably because i dont know the commands well. and how to name what I want.

Just came my boss to speak to me and told yeld it me because I havent got this this thing working yet... actually is frustraing to demand things from people there are not capable of... (sorry I know this paragrahs is not accurate to the theme) but im need to share it some how, because he left me crying.

Paul... I really hope you can helpme