Okay, so I downloaded an episode, japanese with english subtitles. Once it finished downloading, I played it and works fine, the subtitles coming on automatically as it plays so I thought, why not burn it on a dvd? I tried to burn it to a dvd using SourceTec DVD burner but when I played it on a dvd player, there wasn't any subtitles. The file I downloaded was (.mkv)

I need help! And thanks for taking the time to answer!