Well that might be your problem right there.
Go to
http://www.cccp-project.net/ and download that codec pack. Only one you'll ever need.
cccp also comes with Media Player Classic, which should have no difficulty displaying subs properly.
I'm assuming you meant you were using the divx player. According to cccp's wiki, that should be able to play subtitles properly, IF you have the most recent player. If you don't, update it to be on the safe side.
To see if you have the right subtitle stream, you can rightclick in the video view of the divx player and look at the "subtitle track" menu.