apologies on that, your right...I saw that he was using a 9volt source without capacitors and thought that it might help him to see how it should be hooked up...From what I have read and used myself the capacitors help eliminate noise and the capacitor plugged into the INPUT and Common of the LM7805 will steady the voltage to the regulator. From what I understand the voltage regulator constantly monitors the input and the capacitor will allow the regulator to receive a steady constant voltage so that it will more accurately output a steady 5volts...without the capacitor it will work but your voltage will fluctuate and the chip has a chance of getting to hot and shutting down to protect itself...
Is this more along the lines of what he wanted?