you go to the picture that you want to set as your profile picture, and underneath the album name, where the settings are, it should say Make Profile Picture
If you mean tag, where you can label people/items in a photo, there should be a small icon below the photo on the right hand side that says "Tag this Photo". If you want to put a caption, there...
By using send option you can do so by adding photos in it.......... or go to your friends wall in share column there is a photo option available, you can use that too! tag your friend in the picture.