YOu just have to put the SRT file in the same place as the video..
Just make sure that the SRT filename match with the Video name..
Ex:
The video name: blablabla.avi
The SRT name should be: blablabla.srt
And the most important thing is.. don't forget to download the sub codec.. if you don't have it..
Check on this thread for more info about the codec and sub..
http://yui-lover.com/index.php?showtopic=210&st=0last