A capacitor by itself will not do the job. However, connecting two motors and a capacitor together will do the job. The extra motor cannot have a mechanical load on it and it is called the idler, and it will generate your extra phase (sort of) - this is refered to as a rotary pahse converter, or roto-phase. The third leg will not be a true third phase, its voltage vector will be nearly the same as a third phase, but the current it delivers will be smaller. However it will allow your three phase motor to operate from a single phase source. This solution is not usually suitable for CNC equipement however but works great for general purpose machine tools, pumps and fan loads, etc.
These units are very common, cheap and commercially available, and there are hundreds of manufacturers. Most of the time they will use a special idler motor that has no output shaft. I recommend a commercial unit as the cost advantage of rolling your own is very small, and a commercial unit will safer, have properly sized starters, wires, and capacitors, and most importantly, a warranty.
Heres an interesting article on it:
http://www.metalwebnews.com/howto/ph-conv/ph-conv.html
A VFD is a good solution for single small motors and its output is a balanced three phase, but if you have large motors, or a shop full of three phase eqipment then the roto-phase is the next most economical way. If you have CNC equipment then you may just have to pony up the expense of getting a three phase supply installed.
Your problem is not unique, the country is full of small manufacturing shops (and farmer's barns) that do not have three phase power.
Do a google on "rotary phase converters."
http://www.rotophase.com/phaseconverter.cfm?CFID=7756541&CFTOKEN=91051000
http://www.americanrotary.com/
I recently helped one of my neighbors put one of these in his welding shop. He added a lathe and wanted to be able to add a milling machine and other three phase equipement. Because he wanted to support several machines VFDs were out of the question. So we put in a transformer to kick his 208 suupply up to 480, and added a roto-phase unit with a 20hp idler motor and wired its output to a new three phase breaker panel. Now when he wants to add equipment all he need to do is connect it to the new panel. He has to start the roto-phase first, then his equipement, but it was considerably cheaper than running three phase power to the shop.