I mean when i want record one show on tv with captioning on but when i record it with dvd and it won't show up on the dvd but it show up on tv but not on dvd when it record.
It's like I said, it depends on how it's all set up.
In your case, it seems that it's the television that is captioned and you aren't using a decoder. So, whatever you record won't be permanently put on the DVD... but show up captioned when shown back on television again.
Here's what most people do for their television...
wall -> cable box -> DVD (VCR) -> television
or
wall -> DVD (VCR) -> television
Since the television is what's doing the captioning, the DVD recorder is only getting what the wall gives them. However, if you had a decoder separate from the television, then the layout would be different...
wall -> cable box -> decoder -> DVD (VCR) -> television
or
wall -> decoder -> DVD (VCR) -> television
Now that there's a decoder before the DVD recorder, the captions are included before being recorded. Now, the DVDs you burn will include captions permanently.