The Captains of the West were the leaders of the men who went to battle before the Black Gate of Mordor. They included Aragorn, Éomer, Gandalf, and in the book, Prince Imrahil of Dol Amroth and the sons of Elrond, Elrohir and Elladan. With them rode Legolas, Gimli, Peregrin Took, and in The Return of the King (film) Meriadoc Brandybuck, thus giving each of the Free Peoples of Middle-earth a representative in the upcoming fight.
Aragorn led two thousand men (from the ones he led to Minas Tirith in the ships of the Corsairs); Éomer led five hundred Rohirrim who didn't have horses and another five hundred of his best riders on horse, Imrahil led three and a half thousand men on foot; a final unit consisted of the knights of Dol Amroth, the sons of Elrond, and the Dúnedain Rangers, making up five hundred more horsemen.
By the time the Captains of the West reached Mordor's Black Gate, they had already sent many men off to retake Cair Andros and to hold the Crossroads, leaving them with less than six thousand men.