Well... if the three files have the same name (such as "film.avi" "film.idx" and "film.sub") and are in the same directory [by default it works also if the subs are in a subdirectory called "subtitles"], DirectVobSub should auto-load and display the subtitles...
If not, I think there's a shortcut called "directvobsub, configure" in the directory where you installed vobsub.
double clicking it, you should see a window like this (this is v2.14, I dunno if it has changed since):
Enable "always auto-load"
when playing your movie, right-click on Dvobsub in the systray (a green curved arrow) and select "Directvobsub (forced auto-loading version)"
you'll see the same window as above, and you'll be able to open your idx file for display.
Good Luck