Just a sidenote, you failed to mention what version of android came on your captivate.
AT&T released an update to enable sideloading (
AT&T sideloading officially a go, designed to allow Amazon Appstore downloads (update) -- Engadget). Best bet is to get in touch with AT&T to find out how to get this update.
Also,
you could upgrade to the leaked version of Gingerbread (2.3) that is floating around, which has sideloading enabled. I wouldn't recommend this method if you don't feel comfortable downloading and installing the update on your phone.
Hope this helps.