Need Help With Adding Subtitles When Burning DVD (Using ConvertXtoDVD)

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I have been burning movies so I can watch them on my regular DVD player but they have to be converted to the correct format first so I have been using the software program called "ConvertXtoDVD". The only problem is, I can't seem to get the sub-titles in there and it is really aggravating when you have a movie with some foreign language in it and you don't have the sub-titles. For instance I will already have the movie in like mpeg4 or something so I use one of my video players to watch it and it has an option to import the sub-titles from the folder with the movie in it. I can choose from several different languages. The problem is I can't figure out how to get it into my convert and burn program so it comes out right on the DVD. If anyone knows how to do this in ConvertXtoDVD then please help me. If you don't know how to do it in that one but know another software program that will do it then please share. Thank you to all the my-lotters that respond to discussions. Especially when I have a problem.