Footnotes in captions are especially tricky: they present problems of their own, on top of the problems one experiences with footnotes in section titles and with footnotes in tables.
So as well as using the optional argument of \caption (or
whatever) to avoid the footnote migrating to the List of ..., and
putting the object whose caption bears the footnote in a minipage, one
also has to deal with the tendency of the \caption command
to produce the footnote's text twice. For this last problem, there is
no tidy solution this author is aware of. If you're suffering the
problem, a well-constructed \caption command in a minipage
environment within a float, such as:
\begin{figure}
\begin{minipage}{\textwidth}
...
\caption[Caption for LOF]%
{Real caption\footnote{blah}}
\end{minipage}
\end{figure}
can produce two copies of the footnote body "blah". (In
fact, the effect occurs with captions that are long enough to require
two lines to be typeset, and so wouldn't appear with such a short
caption.) The ccaption package's documentation describes a
really rather awful work-around.
This question on the Web: http://www.tex.ac.uk/cgi-bin/texfaq2html?label=ftncapt