How do I make subtitles show up with Zoom Player?

To enable subtitles in Zoom Player, you need to install a subtitle filter called "DirectVobSub". This filter is freely available and can be found here.

You must make sure you have the latest version installed as certain subtitle files won't load if the latest version isn't installed. Also, the subtitle files need to share the same base name as the media file you are trying to play.

Example:
myvideo.avi
myvideo.sub

One thing to note is, If you have Zoom Player set to automatically set a specific subtitle track (Advanced Options / Playback), and the specified track is not found, subtitles may get disabled and you will have to enable it (Ctrl+"B").

For more information, read this Media Setup article.