\documentclass{article}
\usepackage[cp866]{inputenc}
\usepackage[russian]{babel}
\usepackage[dvips]{graphicx}
\begin{document}
\begin{figure}[tbp!]
\centering
\includegraphics[width=5cm]{tiger.eps}
\caption{\cyr{} Это тигр}
\end{figure}
\end{document}