If you use
\begin{figure}
...
\end{figure}
in a multicols environment, the figure won’t appear. If
instead you use
\begin{figure*}
...
\end{figure*}
the figure will stretch right across the page (just the same as a
figure* in standard LaTeX’s twocolumn option).
It’s possible to have single-column figures and tables with captions,
using the ‘[H]’ placement option introduced by the float
package but you might have to fiddle with the placement because they
won’t ‘float’, and exhibit other strange behaviours (such as silently
running off the end of the column at the end of the
multicols environment).
This question on the Web: http://www.tex.ac.uk/cgi-bin/texfaq2html?label=mcfloat