Windows Movie Maker is an okay choice to put subtitles on your movies. Its limited export formats and constant crashing, though, renders it useless for any big projects, but if you wanna just subtitle a video and output it in a readable format, it goes highly recommended, because it's not hard to sub; Windows Movie Maker is ridiculously easy to learn in itself.
But if you wanna really get down to it, you have to use programs like Advanced SubStation Alpha (you can figure out what it abbreviates to) or Sedusa to create the subs, then use VirtualDub to combine and export. That's what most fan-subbing groups do, and it takes a lot of time to do, so it's only used by the professionals rather than the casual. You'll also need like 1782134 GB (well, more realistically, 1-2 GB) of space on your hard drive, unless you know how to encode stuff into compressed formats like DivX.
