Thank you for those few kind words...
If you are simply taking VOBs known to contain subtitles and just playing them, then you will have problems. For instance, if I have a folder containing all the files from the DVD 'Dreamcatcher' and right-click VTS_02_1.VOB (the first VOB of the movie) and choose Open With... [CinePlayer, my software player], then I will notice two things. One, the format on the screen is wrong. Two, there are no subtitles, or if there are, they're too big or a funny greenish colour - or both! The characters might also be speaking in Italian, Hebrew or God knows what. This is because the associated IFO file, which tells the player the format to use and whether subtitles are present and if multiple languages are available, is missing; that is, I didn't tell CinePlayer about it!
If you are intending to use VOBs in your own movie, you will need to use a re-authoring tool such as DVD-Lab. This will demux the VOB into its elementary streams - video, audio, subs - and you can then pick the ones you want and author a new DVD. The authoring tool will remux the elementary streams you have chosen into new VOBs.
DVD-Lab does have a 30-day trial so you can always have a go and see if it's right for you. Unfortunately, the current version doesn't support subtitles, although they are promised shortly. To re-author with subtitles you'll need something like Sonic ReelDVD or the new ULead DVD Workshop 2.