Instructions
Load "Shenmue" and select "Options" from the main menu.
Choose "Dialog and Text" to bring up subtitle options.
Pick either: Cinema Mode, which does not allow you to skip portions of the game and has no text; Game Mod, which has voices and subtitles; Shenmue Mode, which only has voices but you can skip through dialog and see subtitles or Text Mode, which has subtitles only.
Exit the "Options" menu. The subtitles will appear while you play.