Turn captions on in Windows Media Player

Windows Media Player 8

Turn captions on by selecting "View" > "Now Playing Tools" > "Captions"

Windows Media Player 9

Turn captions on by selecting "Play" > "Captions and Subtitles" > "English Captions"

Windows Media Player 10

Step 1
Turn captions on by selecting "Tools" > "Options" > "Security" tab > Check the box that says "Show local captions when present" > Click on the "OK" button.
 
Step 2
Turn captions on by selecting "Play" > "Captions and Subtitles" > "On if Available"
 
You may need to close down Windows Media player and restart it for the changes to take effect.