tcpmp can play subtitles but have never tried....give it a try.
http://mabin.info/tcpmp/
this link has the subtitle plug in. i think u have to download both seperatly.
REMEMBER TO DO A BACK UP BEFORE INSTALLING....it is on beta version...so u never know what could happen. if u dont have a backup app...use activesync backup...not the best, but is better than reinstalling everything on your pocketpc.
good luck