Does Lord of D protect dragons from dragon capture jar in Yu-Gi-Oh?
No it does not because Lord of D. protects dragons from Spell, Trap and Monster effects that specifically target them. Dragon Capture Jar is a general effect, not a targeted effect therefor Lord of D.'s effect would not apply.
What you have to do is battle the opponent (dragon) until it's health is less than 10% of it's original health, then a caption should appear bellow the dragons battling that says something like, "Do you wish to capture this dragon?" or something like that. Then you click on that and then you have to come up with a name for your dragon, and there, you have a new dragon!