I don't see support for CC in most online content... if CC was not included in the downloaded file or not present with the video stream, it simply won't exist. If you do have a video source with CC, the media player itself has to support CC and should have an option to turn CC on or off. Free media players may not include CC support. I think JRiver Media Center software does support CC (it's $50 I think). Not sure what other media players may or may not support CC.
But CC support in the media player still means that the CONTENT must have embedded CC data for text to show up on-screen.