Getting subs to work with several movies on dvd-rip

Hi, i have several movies i want to burn on 1 dvd (my player can read divx so its not a problem) however some of hte movies require subs.. is there any way for me to incoporate the subs in a way my dvd player can reckognize them and me being able to use em? remmeber i have 3-4 movies on 1 dvd and i use nero express to burn them as data files. Thnx in advance
-Knivez