There is more than one artist with this name:

1) Captains of Industry was musical project of English rock and roll singer-songwriter Eric Goulden (best known as Wreckless Eric). Riddled with alcoholism, Goulden had quit the music biz in 1980. But in 1985 he returned with Captains Of Industry, a trio including former Ian Dury and The Blockheads' bassist Norman Watt-Roy.

The group's sole release, A Roomful of Monkeys (guest-starring Mickey Gallagher, another former Ian Dury sideman, whose roller-rink organ is actually the most prominent instrument on many tracks), makes it clear that his five-year absence did nothing to dull Eric's spirit or his talent.

Considering that Goulden produced himself, it's a surprisingly disciplined effort, mixing the craftsmanship and spontaneity of earlier efforts. With songs that were as pungent as ever, Eric sang them confidently. A resounding comeback by an estimable talent; why it wasn't greeted as such by the British public remains a mystery.

2) A Melbourne version (approx 1995 - 2001) was mostly a duo consisting of Jared Osborne (keys/fx) and Edward Kelly (guitar/fx/keys) - and occasionally expanding to feature more keys via Justine Electra, and tabla - Euan Williamson.
this Melbourne version grew from the softening of another Melbourne act, Donuts Inc - only to become soft in itself. It varied from very harsh noise to rather soft paddy electronica - so far only the soft stuff is available :)
http://www.mp3.com.au/artist.asp?id=28429

3) chicago is Cap'n Zach Duffy at home trying to record the songs in his head. Read more on Last.fm. User-contributed text is available under the Creative Commons By-SA License; additional terms may apply.