You can also use the picture frame from Yahoo widget gallery. It comes with the Widget engine you download by default.
It's an easy way to display a caption of your choice and is easily resized with numeric increments. It's also great for running a virtual collage of your screen shots and favorite pictures with a timer. It has an opacity control which controls the transparency level as well.
Most of my newer screen shots have this widget in it.
Hope this helps, good luck.
