I assume that you want to change the caption of an annotation when the user mouses over the annotation. This is possible. The key is that you have to set CWGraph::TrackMode to cwGTrackAllEvents. This corresponds to "Plot & Cursor Events" in the property pages (admittedly not the best name for this track mode).
The following code in VC++ changes an annotation caption when it is moused over.
void CSetAnnotationCaptionDlg::OnAnnotationMouseMoveCwgraph2(short FAR* Button, short FAR* Shift, double FAR* XPos, double FAR* YPos, long FAR* AnnotationIndex, long FAR* AnnotationPart)
{
CString caption;
caption.Format("AnnotationIndex = %d", *AnnotationIndex);
COleVariant index(static_cast((*AnnotationIndex) + 1), VT_I4);
m_graph.GetAnnotati
ons().Item(index).GetCaption().SetText(caption);
}