I recently downloaded a Spanish movie with English subtitles. When I opened the movie .avi file, the subtitles didn't appear. It turns out that they are loaded from a separate .srt file.

I did some digging, and found the information I needed in a forum. To view .srt files on a Mac, you need to use a video playing app called VLC. It's free, and can be downloaded here.

Once you're running VLC, go to preferences and deselect 'automatically detect subtitle files'. Then choose the subtitle file to be played with the movie using the 'browse' button (select both files). It’s not automatic but it works!

I imagine you could do exactly the same thing to view .srt files in Windows, but I haven't verified that.