If you are copying the complete film then all you need to do is go into setup at the menu screen and select what you want.
As stanH1000 has stated that if the subtitles are there then perhaps it is a feature on your DVD player that is not setup properly. Does this happen only with that movie or is it a pattern that occurs with all such movies?
This is the 1st DVD that I have burnt that was in a foreign language and I need the English sub-titles so I can not answer that question. And again, it is not only my new SONY player which is compatible with DVD-R but it was played in a Pioneer player that also could not display the sub-titles.