There is only one main beach in Capurgana. If you go to the very end (turn right when you get off the boat and keep going) and keep on going through the woods you will eventually get to some really nice pools in the rocks.
There is a really nice trail leading from Capurgana to Sapzurro!
In the village just take the trail left of the school and then... ask somebody for the trail... When you have it, you can't loose it again!
It's about 1 1/2 hours on a muddy djungletrail. On the highest point (about half the way) you have a nice view to Sapzurro and to Capurgana!
From Sapzurro it's a 20min walk to the panamanian village of La Miel. You'll need your passport for that, but they don't give you a stamp.
In the ugly village of La Miel just follow the sign to "Playa Blanca" and enjoy one of the most beautiful beaches in the area...
If you're too relaxed (or tired) to walk all the way back you can ask at one of the fishingboats in Sapzurro if they could take you back (6000 peso per pers.).
You can do this hike in an easy daytrip! Just be careful with the snakes - we had to take the boat back to Capurgana because of a green snake that was very agressive! It just blocked the trail and had fun attacking us....