Instructions
Select the "Video" icon from the home screen. Insert the UMD or Memory Stick Duo into the PSP. Insert a UMD by sliding the disc latch on top of the device. Slide the disc in, with the label facing the back of the device. Insert a Memory Stick Duo by opening the slot on the back of the device. Gently pull the slot cover away from the device and slide the memory stick in with the arrow facing the device.
Select either "UMD" or "Memory Stick Duo" from the "Video" menu. Press "X" to start the video playback.
Press the "triangle" or "circle" button to reach the Video Options menu. Select the "Subtitle" icon when the video begins to play (or anytime during playback). The subtitle icon is a dark icon with four periods at the bottom. Pressing this button moves selection between any available subtitle (or "caption") options for the video you are watching.