Hi there
First, please report this as a bug via http://www.adobe.com/go/wish
Next, you can try re-connecting the second monitor. Odds are the dialog is displaying in that "invisible" monitor space. I asked you to report as a bug because the engineers really should configure Captivate so it senses when a second monitor is not present and it then simply presents the dialog on the visible part of the screen.
If you are unable to connect a second monitor you can close Captivate and blow your preferences away. Just right-click the shortcut you use to start Captivate and choose Properties. Then click "Open File Location". Windows Explorer should open. From there, navigate to the Utils folder and run the CleanPreferencesWin.bat file. Then restart Captivate. Your dialog should have returned.
Cheers... Rick 