While many media players can play subtitles that are separate from a video, some of the old CD/DVD players have trouble processing a separate subtitle file. DivXLand Media Subtitler helps you to embed subtitles directly into a ripped or downloaded movie file. It has support for over 30 different subtitle formats and 15 different video formats including MPEG, DIVX, and XVID, you’ll rarely come across a combination of subtitle and video you can’t combine.
DivXLand Media Subtitler key features:
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Create subtitle files from plain text files
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Preview subtitled video immediately without saving file
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Save partially edited files to resume subtitling process later
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Automatic caption timing features
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Multiple subtitling modes available
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Support for basic text formatting
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Support for at least 30 subtitle formats (open and save)
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Keyboard shortcuts available to control subtitle process
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Spell check using the Ms Word component
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Embed subtitles on AVI video
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Extract audio streams from AVI and MPG videos into MP2, MP3 and WAV formats
If you are looking for subtitles to download for your collection of foreign movies, look at my review of Subdownloader
DivXLand Media Subtitler is a free download for Windows only.
Check it out: DivXLand Media Subtitler

you forgot to mention that for you to be able to actually embed subtitles in your movies using this application, it will require you to install the VirtualDub application.