The Rohan Captain is a special unit which can be upgraded with various elite units to adapt to the whatever the situation calls for. They are the elite infantry and cavalry of Rohan. They can also mount a horse without upgrading, but on their own they are mostly a waste of money as they lack hero-like stats and cannot rely on numbers (think of them as a weaker version of Merry or Pippin minus the abilities).
Similarly to the Marshals such as Elfhelm, the Rohan Captain starts at level 1. They can be recruited once the Exile Camp has been upgraded to the King's Camp. If the upgraded Rohan Captain is killed, the battalion will not disband, unlike the upgraded Thrall Master.
Flank Defence - Pikemen are used to defending from all sides when battling against monsters and cavalry. As a result, they cannot be flanked. They take no extra damage from being flanked and deal full revenge damage regardless of the direction they get trampled from.
The Rohan Captain can be given one of the following upgrades:
Soldiers of Meduseld - Call a battalion of Soldiers of Meduseld to serve as elite Swordsmen. Cost: 500
Wardens of Meduseld - Call a battalion of Wardens of Medused to serve as elite Pikemen. Cost: 600
Knights of Meduseld - Call a battalion of Knights of Meduseld to serve as elite Cavalry. Cost: 800
The strategy you use with him depends on the situation, what faction you are up against, etc. This is due to his special use of 3 different upgrades which give him 3 different kinds of elite units. The Knights could be used for spammy factions or factions with many archers, the Soldiers to counter enemy pikemen, or the Wardens for cavalry- based factions like Rohan.