The way I've been doing it is with hyperlinks in an HTML page.

Here's what I do:
1) Publish your Captivate movies, and have Captivate produce a HTML page for
each movie.
2) Create a blank HTML page (i.e. in Dreamweaver).
3) Create a menu in the HTML page. Each menu item is a hyperlink to each
Capitvate HTML page.
4) Edit the style of the HTML page menu. I usually do all edits in CSS, but
you can use DHTML, images, etc.

I've created some menus that look really good using CSS, borders, margins,
backgrounds colors, etc. I've sometimes created a <frameset> - so I do not have
to reproduce the menu on each page, and I load all the Captivate movies in one
designated frameset page.

You could also easily do this within Flash - and just link Flash buttons to
the Captivate HTML pages.

For navigation within one Captivate movie between slides - I have a product
called the .http://www.kcwebplaza.com/captivate/menu.html.