Media Player Classic can open an external subtitle file: File > Load Subtitles
You can also "remux" the file, into an mkv with softsubs. [Only registered users can see links. ]
Under 'Windows' you can download the setup. After installing, go to the install directory and run "mmg.exe". You can then add the file you want, and then add the subtitle file as well. Choose a name and output directory and start the muxing. You'll be left with a single .mkv file, with softsubs. Just like how most fansubbing groups release softsubs.
It's a little more complicated if you want the subtitles to be permanently built into the video file, like an avi or mp4, but it is doable.
Also another good alternative Media player is VLC, all you have to do to open those subs in VLC is go to file -> Open and it will have one drop down box for file and then another for subs and then advanced settings if you wanna mess with sub placement timing etc etc.
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