do you have the codec the allows you to play .mkv files? if u do when u play the video, on the bottom right of your taskbar should have this FFDShow thing which u can right click and choose turn on subtitles or something like that. i dont really use codecs to play other files except for xvid and divx.
here just use VLC player. it plays nearly any file type plus u can pick which subtitle and which audio to use.