Join Subtitles to Files... Without the need of transcoding.

Show closed captions or subtitles in Windows Media Center:

http://windows.microsoft.com/en-US/windows7/Show-closed-captions-or-subtitles-in-Windows-Media-Center
Please note that on Windows 7, both Windows Media Player and Media Center make use of the Windows Media Foundation (WMF) framework instead of DirectShow for playing certain file types. As a result, DirectShow subtitle filters like DirectVobSub are not used.

WMF is used for the following file types: MPEG, WMV, MP4, MOV, M2TS. For other file formats, such as AVI and MKV, the Microsoft players are (in most cases) able to display subtitles.
You can download a third party software and check if it helps. Search using your favorite search engine for more information.
Note: Microsoft cannot guarantee that any problems resulting from the use of Third Party Software can be solved. Using Third Party Software is at your own risk.
Please check if suggestions on the following thread works:
http://social.technet.microsoft.com/Forums/en/w7itpromedia/thread/49db6282-8a5b-4ca2-bee0-cb870904ba1f

Source = windows 7 ( windows 7 media center how can put subtitles *.srt *.txt e.t.c)

   Note

I've not tested this as I don't currently use 7MC for video playback

Hope it helps :)

You're welcome, keep us posted :)