Lady taking a long time to capture knight (5)
I believe the answer is:
agnes
'lady' is the definition.
(I've seen this before)
'a long time to capture knight' is the wordplay.
'a long time' becomes 'ages' (I've seen this before**).
'to capture' is an insertion indicator.
'knight' becomes 'n' (chess).
'ages' enclosing 'n' is 'AGNES'.
'taking' is the link.
(Other definitions for agnes that I've seen before include "Girl's name" , "David's second wife" , "St --' Eve, poem by Lord Tennyson" , "Woman" , "lass" .)