In case your subtitles look like this:
you have to follow few steps to solve this problem.
Follow: Start -> Control Panel -> Regional and Language Options
A window will pop-up (see image below)
Click on the field Languages for non-Unicode programs and select the subtitles language (for example Greek)
Press OK. You may need to restart your PC to apply the changes you have done.
After play your movie. The subtitles now works fine.