How do I use subtitles on a DVD rip?

I torrented a Korean movie and I don't know how to turn on subtitles. The torrent contained the AVI file, a SUB file, and an IDX file. (I don't know what that last one is. I'm guessing the SUB has something to do with the subtitles?) When I watch the AVI in Windows Media Player, I make sure that subtitles are enabled, but nothing comes up. How do I do this?