Hi there
What you must do is PUBLISH your presentation. (File > Publish)
MOV will not be an option. But MP4 may. It depends on your version of Captivate. My crystal ball is broken and my psychic skills are sub-par, so I am unable to divine what version you are using. 
If it's version 6 or 7, click the Media icon on the left strip and choose MP4 from the drop-down.
Cheers... Rick 