You have several option on how to deal with this, you could edit the Photoshop plug-in files in a text editor and remove the code that adds the filename to the captions or you can buy AutoViewer Pro and set showcaptions to false or you can edit the gallery.xmls in a test editor and remove each caption.

@bmdvpro Yes, if you have already installed the plug-in you need to navigate to the presets\Scripts\autoviewer folder inside the PhotoShop folder and edit the jsx file in a text editor. Run a search for <caption> and remove the code between the caption tags, you should leave the empty captions tags in there. Make sure to backup the jsx file before you change it or you will have to download the plug-in again if things get messed up.