I'm guessing you have ground or powdered cayenne. It will not truly dissolve
in any useful time frame.
But assuming you want it to hydrate so it will incorporate into a recipe,
the best advice is wait. Like all dried herbs and spices it needs a little
time to take on water.
It will hydrate some. It will never hydrate to the degree you may be
expecting because cayenne is a very thin-fleshed pepper to begin with, so
lot of what you see is the "skin" which generally doesn't break down readily
but shouldn't cause a texture problem if powdered.
You can help it along a little by toasting it briefly in a skillet, just to
the point of fragrance, and then mixing it with hot water and letting it
stand for an hour or so. This works great for whole dried peppers.
Or, just add it to your recipe as written and it should take care of itself
unless you just aren't giving it time.
MartyB