If you mean to put them on the video (non removable) then you could use the search button for some smal tutorials on how to do that to get a .avi file
http://bsplayer.com/forum/viewtopic....ght=virtualdub http://bsplayer.com/forum/viewtopic....ght=virtualdub http://forum.bsplayer.org/viewtopic.php?p=18577#18577
or just use ConvertiXtoDVD if you want to transform the file in to a subtitled DVD.