You can use the VirtualDub filter "subtitler" to insert subtitles into your videos. It can render subtitle script files created in .ssa format (ssa = SubstationAlpha, the basic subtitling software whose file format is used by the subtitler filter)

Here is a tutorial on how to insert subtitles into your videos.
http://www.debugmode.com/pluginpac/subtitler_usage.htm

Here are two posts at the COW by users who have tried it out.
http://www.creativecow.net/forum/read_post.php?postid=104811976376403&forumid=24
http://www.creativecow.net/forum/read_post.php?postid=104812009065130&forumid=24