How to play an AVI file with subtitles (captions)?

There are several ways.

The easiest:

• Use SAMI type subtitle files (.smi files: SubSync can create those or convert from other formats), and make sure that the subtitle file is in the same directory as the AVI file and has the same filename (i.e. if the movie is called film.avi, the subs must be in film.smi).
• DirectX media 6 or Media Player 7 required.
• Open Media Player (mplayer2.exe if you're using DirectX media 6).
• In DirectX media player 6, turn on menu View -> Captions.
• In media player 7, turn on menu View -> Now Playing Tools -> Captions.
  In media player 7, this option has to be turned on before playback is started, or the captions will not run synchronously with the AVI file. If you notice this error, just click stop and start.
  
• Open the AVI file.
• Done.

Other ways: download a player that supports different subtitle file formats.

• DVlaD can use SAMI (.smi) and SubRip (.srt) files, and can display them along with any media format Media Player can play (even .mp3, if you want to display the lyrics with a mp3 track).
  For .srt files, DVlaD allows a choice of font size. For .smi files, the font typeface and size are specified in the subtitle file (and can be edited using Notepad: if you've ever seen HTML, this will look familiar).
• BSPlayer can be found on http://bsplayer.cjb.net/
  Besides subtitles, it also supports AVI files with multiple audio streams (other players only play the default stream).
  It supports SAMI, .srt (subrip) and .sub (MicroDVD) formats.
• GlobalDivX doesn't support SAMI files and doesn't play all media formats DVlaD and Media Player can.
  Even though the authors claim: "The Global DiVX Player uses MUCH LESS CPU Resources than Windows Media Player", it is using Microsoft's msdxm.ocx to do the actual work just like Media Player, DVlaD and earliy versions of BSPlayer are. A bit over-enthousiastic maybe?