Merging avi and subtitle files

Hey all, wonding if anyone can help me, I've gotten 2 movies off a friend, but they both have subtitle files. One Movie containes an avi file and a srt file and the other movie contains an avi file and a sub file. I'm looking to merge these 2 files together on each movies so that i can watch the movies with subtitles on my divx player with my TV. They work fine as they are with windows media player, but not on my divx player. i have tried just burning a disc where the subtitle file and the avi file are in the same folder but the subtitle just does not show up. the subtitle file and the avi file have the same name apart from the extenstion(in case anyone suggests that;) ) I have browsed google and toher boards, and they say many things, but none have worked yet. mostly people are just looking to recreate the avi file so that it worka on a dvd player, but i just want to recreate a new avi file with subtitles.
hope someone out there can help me.

Many Thanks