Well, get ready for some spoilers!
viewtopic.php?f=121&t=39382
To capture them, you need to move a unit in the hex with the given coordinates, like (23,23). These coordinates are shown on screen below the nine buttons, behind the text that tells you what terrain is under your mousepointer. If you enter such a hex (usually it's a city), this triggers a script and the captured unit is placed on the map at the start of next turn (usually right next to the coordinates given), ready to be used.
Sometimes the unit can't spawn; this can happen because the hex is already occupied, it needs to be empty. Just keep a unit in the hex that triggers the unit to spawn and clear the hexes next to it. Also, if you occupy such a hex on the last turn, the unit usually doesn't spawn, because it will do so only at the start of the next turn. This is because the game often checks if you have any units in the correct place at the start of the turn, so make sure you keep a unit in there until it spawns. It has happened that people quickly seized a hex with a recon unit, moved it out of there and never received the reward.
Also, there are special hero units that can join your side, these are awarded automatically during play, sometimes this can appear confusing. The capturable (enemy) units work by capturing and occupying specific locations.
Also, about the artillery unit in Poland, you can capture 4 of those during Warsaw but only one is added to your core, the other three are auxiliary units. So check the unit strength plates carefully (gold vs. silver border) to see which one you get to keep.
Happy collecting, it can be a touch addictive, but captured KV tanks are very useful!