1. From the file you have you can create a DVD, if you have a DVD burner. Long process and complicated.
2. From the file you have you can create a SVCD or VCD, using TMPGenc. First install vobsub. Go to options->environemental settings and move the directshow plugin up to priority 1. Now, when converting a file with TMPGEnc, it should load the subtitle also. Start the project to create a MPEG1 or MPEG2 file, then burn-it as VCD or SVCD onto a CD. See more explanations on
www.dvdrhelp.com search for subtitles on vcd/svcd