You have to select
Play -> Audio And Subtitles -> On if available
The should appear... if not try right clicking the video and in the submenu select subtitles-> english
If still you can't see the movie i suggest to download a codec pack from
http://www.free-codecs.com and i recommend XP Codec Pack, that's the one I'm, using right now and could see Advent Children in WMP and Winamp. This is because you need DirectVobSub, a program that implement subtitles to movies in realtime from another file and is included in the pack, along with lot of other useful codecs
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