Unfortunately as far as I know, subtitle options are only available for UMD movies. As of right now, external subs aren't supported. You'd basically have to convert the video with subs which would then embed the subs on the video itself instead of being separate like an mkv file which can contain the video, audio and subtitles all separately.
Most (decent)video players will also play subs if an external subtitle file is in the same directory with the same name as the video. Unfortunately, I've tried this with the psp and the subs wouldn't show no matter what format subtitles I used.
