Urgent Please - Subtitles in Sony Vegas on DVD

I am doing this amateur film for a couple competitions. What I want is the DVD to have a video menu which I can do in DVD Architect, and I want the one video to be on there. However, I want an option for a closed caption like subtitles of all of the lines from the movie. However, I can't figure out how to do that anywhere. I'm imagining like an option in the menu you can click on which either shows the movie without the sub-titles or with the optional subtitles at the bottom and it could be activated by the DVD remote during the video like a real movie. Does anyone know how to do this or if it can be done in this program or any way to have optional subtitles? Please, please, please help.