Viewing Subtitles stored in separate (.srt/.sub/...) files:

In Media Player Classic(Free Download)

First set the video renderer type to "VMR7 (renderless)" or "VMR9 (renderless)"(View>Options>Playback>Output). Then re-open the video and load the subtitles (the .srt/.sub/... file) (File>Load Subtitles).

In Windows Media Player

In order to view subtitles for a given video file you have to download and install VobSub . Place the .srt/.sub/... file containing the subtitles in the same folder as the video file (also, do not change the filename of the .srt file). Control the subtitles using the "direct vobsub" icon in the system tray. VobSub overrides all subtitle settings of Windows Media Player. You can even switch subtitles off in media player (Play>Captions and Subtitles), as this keeps Media Player from displaying double subtitles.

This sticky was rushed, i'm not an expert on this, please post comments to correct any inaccuracies or add implementations for other players/formats.

If the name of the subtitles is the same as the video file, the VobSub will display the subtitles automatically. Also, VobSub does a better job of displaying subtitles than the built in subtitle support of Media Player Classic or any other media player for that matter. For that reason, I would suggest that you use VobSub to display your subtitles.

another good player for subtitles is BS Player. looks a lot like Power DVD and plays just about everything including subs

video lan client is another great video player with subtitle support. http://www.videolan.org

is there a way to add the files together and put them on a dvd?

using .rmbv files or .rm

If you're using Ubuntu or almost any other Linux OS there's am app called DeVeDe, https://help.ubuntu.com/10.04/musicvideophotos/C/video-editing.html which can convert movies and subtitles into ISO files. The ISO files can then be burned onto a DVD.

There's also a version that runs for windows, but according to the comments it's still pretty buggy
http://www.majorsilence.com/devede.