Separate subtitle file

I don’t know if this is the right place to ask this (excuse if I do)… anyway, I was wondering if is possible to create or burn a movie along with a separate subtitle file? do I need a special program for that? or simply use a cd burning program like Nero (i’m currently using it)? I would apreciate if anyone can lend me a hand.

Thank you for helping

"I was wondering if is possible to create or burn a movie along with a separate subtitle file?"
Maybe a bit more explanation required here. What for of movie are you talking about, a DVD or an AVI file or mpeg or what?