What format are you starting with? If you need to convert to dvd-video and include the subtitles as you author it, you can use DVDFlick or AVStoDVD. I prefer AVStoDVD: http://www.videohelp.com/tools/AVStoDVD Both of these programs can be set up to burn automatically with ImgBurn, which is included in the package.
Make certain to set output to match your country's standard for dvd-video. The US uses NTSC. Most of the rest of the world uses PAL standards.
Once you import the file to be converted in AVStoDVD, right click on the video in the main window. This will bring up a list of options, including importing a separate subtitle file.