it's a very simple process , here is how it goes:
1. Download the video with VSO Downloader (a demo guide is available here)
2. Once the download is complete, do a right click on the video and select "Add subtitle"
3. A window opens, click on the yellow folder icon at the right of "subtitle path" to select your subtitle file. the following subtitle formats are supported: SRT, SSA/ASS, SUB/IDX
Depending on the language of your subtitles, you might need to change the codepage so they can be displayed properly.
If you want to use the same characters used on your PC then simply click on "Select system codepage" and the right codepage will automatically be selected.
4. Then go to the bottom of the software to select your conversion output format: Generic video (also called Avi format), DVD, Apple format (Ipod/Iphone, Ipad) or mobile phone.
*Conversion to those formats are only available to Ultimate licence holders*. VSO Downloader is a free formats but some options, like conversion to other video formats requires a licence, which can be bought here. The Ultimate licence also offers these advantages.
5. The conversion starts automatically, and you're done!
6. Watch the result: the subtitles are embedded into the video!