setCapture is used to retain some mouse-related action outside the browser window
and it is used to implement some kind of drag&drop
if you mousedown an element and you will go with your pointer outside the browser window the mousemove event stops to work
if you setCapture() the mousemove event will continue to work outside the browser window
https://developer.mozilla.org/en/DOM/element.setCapture
and the related method to release capture
https://developer.mozilla.org/en/DOM/document.releaseCapture
so, it has nothing in common with the capturing event model and, there's no known way to emulate it in internet explorer in a standard way!
hope this helps!