It won't. From what I understand, the Captivate has a 900/1900/2100 3G radio. The 900/2100 is for Europe, Asia, some carriers in Australia, etc.
1900 is the 3G frequency that AT&T broadcasts its 3G signal on. T-Mobile USA broadcasts its signal on the 1700/2100 AWS frequency: A phone needs to support both 1700 AND 2100 to work on T-Mobile's 3G network.
However, the captivate, just like any unlocked GSM smartphone around these days, will work fine on GPRS/EDGE anywhere on any network.