How to insert subfigure with caption in IEEE trans?

If you read IEEEtran documentation will see that it recommends not using subfigure package but subfig. And an example with subfig is explained in it.

What I understand you want is something like this:

which can be obtained with following code:

\documentclass{IEEEtran}
\usepackage{lipsum}
\usepackage{graphicx}
\ifCLASSOPTIONcompsoc
    \usepackage[caption=false, font=normalsize, labelfont=sf, textfont=sf]{subfig}
\else
\usepackage[caption=false, font=footnotesize]{subfig}
\fi

\begin{document}

\section{A}
\lipsum

\section{B}
\lipsum[1-3]
\begin{figure} 
    \centering
  \subfloat[a\label{1a}]{%
       \includegraphics[width=0.45\linewidth]{example-image}}
    \hfill
  \subfloat[b\label{1b}]{%
        \includegraphics[width=0.45\linewidth]{example-image}}
    \\
  \subfloat[c\label{1c}]{%
        \includegraphics[width=0.45\linewidth]{example-image}}
    \hfill
  \subfloat[d\label{1d}]{%
        \includegraphics[width=0.45\linewidth]{example-image}}
  \caption{(a), (b) Some examples from CIFAR-10 \cite{4}. The objects in     
        single-label images are usually roughly aligned.(c),(d) However, the 
        assumption of object alignment is not valid for multi-label
        images. Also note the partial visibility and occlusion
        between objects in the multi-label images.}
  \label{fig1} 
\end{figure}
\lipsum[1-5]
\end{document}

here is another way:

\usepackage{subfigure}

\begin{figure}
    \centering
    \subfigure[First caption]
    {
        \includegraphics[width=1.0in]{imagefile2}
        \label{fig:first_sub}
    }
    \\
    \subfigure[Second caption]
    {
        \includegraphics[width=1.0in]{imagefile2}
        \label{fig:second_sub}
    }
    \subfigure[Third caption]
    {
        \includegraphics[width=1.0in]{imagefile2}
        \label{fig:third_sub}
    }
    \caption{Common figure caption.}
    \label{fig:sample_subfigures}
\end{figure}

And the output: