Labeling Illustrations

I am working on illustrated instructions and am having trouble finding a way to sequentially number the lables. eg: Figure 1, Figure 2... Once this is accomplished I believe I can then link the lables/illustrations to the text. On page 351 of the indesign reference manual titled Captions eludes to this being easy but I am having diffuctuly finding these instructions.
Any clear instructions would be appreciated.

You need to create a paragraph style used a Bullets and Numbering>Numbers
check this article:
Numbered Lists — Part III Figure Captions
http://blogs.adobe.com/indesigndocs/2009/04/numbered_lists_part_iii_figure.html

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