download media player classic

download "media player classic"
then change your movie and your caption to same name.

when "Media Play Classic" is paly your move it auto looking for caption file as the same name as your movie file, only different is the extension.

like.
yourmovie.avi
yourmovie.srt

or
yourmovie.rmvb
yourmovie.idx
yourmovie.sub

good luck