You can't add subtitles for CD or DVDs loaded in the program as these are automatically loaded. If you're using a DivX file, then place the subtitle (srt, sub, ssa, ass, psb, and smi format) in the folder of the movie. Make sure the subtitle has the same name as the movie. Although it's not necessary since PowerDVD will look for files in the directory where the file is located. Once the subtitles are found, PowerDVD will load them, and then you can access the additional options through the Express Menu.
Support page: http://www.cyberlink.com/support/product-faq-content.do?id=2385
