1. Open Windows Media Player.

  2. Press CTRL+M to show Classic Menus (screenshots are of Windows Media Player 11).

     
    windows media player with classic menus turned on

  3. Click the Play menu, point to Lyrics, Captions, and Subtitles, and then click On if Available.

     
    menus to click to turn on closed captions
  4. Captions appear below the video.