WTV files need special ways to embed closed captions which is a feature in the pipeline. MCEBuddy however can extract the certain types of closed captions and DVB subtitles from WTV files. Once extracted you can use a player like VLC to play it back and display the subtitles from the external file.
WMC codecs don’t support using external subtitle files but you can see this topic on how get WMC to play external SRT files. https://www.sevenforums.com/media-center/138345-avi-files-wmc-idx-sub-subtitles.html