This is rather pathetic on a Microsoft site. A tad late for the 2009 question, but for anyone who comes here via a search:
ANUJJOSHI on11 July 2012 (wording edited slightly)
Download and install plugin DIRECT VOBSUB for x64 or x86.
Your media file (movie) and the subtitles file (.srt) should have the same name. For example, if the movie is UP.mp4 then the subtitle should be UP.srt.
Add your files to media center and run, it will take the subtitles itself.