Burn both files with the same name. Also make sure that the subtitles are ANSI and not unicode/UTF-8. If it doesn't work then, then I would say that the player simply doesn't support it.
The Sony technical support answered that it doesn´t support subtitles files. However, there is one hope... maybe divxsub can work, but I don´t know how to create it... I try using Avisub.exe, but subtitles didn´t work even in my computer. Is there a better program to do it?