Originally Posted by renethx
If the idx/sub files are in the same folder as the MKV file, then ffdshow Video Decoder automatically picks them up and shows subtitles nicely (make sure to check "Subtitles" in ffdshow properties). Or merge the idx/sub into the MKV by using mkvmerge GUI. Of course the best practice is create a MKV with necessary PGS subtitle streams from a BD (by using MakeMKV or BluRip/AnyDVD HD).
What's your audio device? If it is...