Video captioning, subtitles?

i'd like to add subtitles to a video, kinda like attach it. so that when i make a vcd out of it, there will be subtitles. I understand that when I add subtitles, it cannot be removed unless it's compressed again or encoded, whatever the term is. are there any softwares? I also found a subtitle file for a movie i want. and i wanna attach it to the movie itself, how do i do it?