In captivate, when you are setting up a software exercise for an employee to do, can you set a time limit to complete? Thanks.

Probably better asked in the Adobe Captivate forums, if you've not already...

But I use CP a fair bit and it's not an option I've seen. The most common place I've seen such an option is on the LMS side.

you can certainly do it on the lesson side if the tool provides a timer functionality but, again, I don't think CP allows for that. You might be able to extend CP with a custom SWF that handles the timing, but how you'd get that SWF to tell the CP that the lesson must now be be graded and closed...that would be tricky.
CM

Captivate allows you to add javascript functions, so you might try that route. I haven't tried it so I don't know for sure if it will work. Just remember that the javascript functions need to be tested or previewed in a web browser.

Your question intrigued me, so I did some research. Based on what I found, it doesn't look like a Javascript timer function would work. A good article can be found here

What type of slide are you using in Captivate. If it is a "question slide" you can go into the question properties, click on the "Reporting" tab, and you will see a time limit option. Hope that helps.