I used to have the same problem. The codecs are installed(have no idea which, but its Vista Codecs, all bundled in together, have no idea what they install

). Downloaded a few animes together with the subtitles, but when I play, it doesn't show up eventhough i turn it on in WMP. The filenames are the same.. except for the extension obviously. But then after searching through google, found out have to go into one of the codecs stuff and turn it on.
Start->All Programs->VistaCodecs(or K-Lite codecs or whatever codecs u installed)->..till you find ffdshow(or red icon with ffv inside). Open that up go to Subtitles(on the left side, tick that), make sure its ticked, and then go to Vobsub, and enable it.