Hmm...I've had problems trying to use the Vdub filter for putting the subs right on the video myself. I'm sure it would work, I just apparently don't know how to do it right. >_>
One option I guess would be to find some kind of capture software to record the audio and video as it's playing...one of those programs that can take video of your desktop. Also, with FFdshow anyway, I've noticed that some convertors (er, namely the ones I have for my GBA Movie Player and for the Nintendo DS application MoonShell's video function) that convert it by plays the video as normal and captures those frames and converts them to the video format you want instead of decompressing the video by working directly on the video itself.

I hope I'm not making it sound horribly confusing...
Anyway, with something like FFdshow that would display the subs and you'd just happen to get them into the video this way. Not sure of any programs that work like this that don't make output unusable on a Windows PC though.

Maybe one of the simpler AVI video convertors.