If you installed MPC and ffdshow by themselves (i.e. not using CCCP) you can get MPC to handle the subtitles by going to Options->Playback->Output and setting DirectShow Video to either VMR7 Renderless or VMR9 Renderless.
Close the options and restart MPC. If there still aren't any subtitles go to the Play menu->Subtitles->Enable and they should automagically appear.
Your other option is to download VSFilter 2.37 from
gabest's sourceforge site and follow the instructions
HERE to install it properly. Inside the archive you downloaded there will be a folder called Release and Release Unicode. If you have Win2k/XP you should install the Unicode version, otherwise if you're still using Win98, UPGRADE YOUR DAMN OPERATING SYSTEM (or use the Release version instead). An advantage to using VSFilter over MPC's built in one is that you can leave the DirectShow Video option you changed earlier on Overlay, which can help quite a bit if you have a slower computer. On the other hand, MPC's built in subtitle filter looks a little sharper. My recommendation is to do the extra work and install VSFilter.
Of course you could just install the
CCCP and it would install VSFilter for you and it might even work out of the box.