The caption of the subfigure follows the size of the figure/table. Is it possible to stretch the width so that it does not follow the size.
\documentclass[11pt,a4paper]{report}
\usepackage{
subfigure,
}
\begin{document}
\begin{figure}[htb]
\small
\centering
\subfigure[\label{fig:sub1}This is the first subfigure.]
{
\centering
\small
\begin{tabular}{l}
First sub figure
\end{tabular}
}
\\
\centering
\small
\subfigure[\label{fig:sub2} Second subfigure.]
{
\centering
\small
\begin{tabular}{l c*{2}{p{0.2cm}}}
$a$& 1 & 1 \\
$b$ & 2& 2 \\
\end{tabular}
}
\\
\centering
\small
\subfigure[\label{fig:sub3} Third subfigure.]
{
\centering
\small
\begin{tabular}{l c*{2}{p{0.2cm}}}
$a$& 1 & 1 \\
$b$ & 2& 2 \\
\end{tabular}
}
\caption{\label{figure} This figure has 3 subfigures.}
\end{figure}
\end{document}
This figure has 3 subfigures.

\documentclass{xxx}untill the line\end{document}. The advantage is that we can try to compile on our own system and check the resulting errors. We also can see the packages you are using and not telling us :-) – Kurt Sep 14 '12 at 12:06