i think tbirdmine meant another thing: not how to mux the subtitle files inside the video container (as with MkvToolNix), but how to just play video and sub file automatically together
in this scenario, with most players it's enough to give the same name to the files...
example:
Game.of.Thrones.S01E04.720p.Webrip.mkv
so the sub will be
Game.of.Thrones.S01E04.720p.Webrip.srt
or you can even add an additional extension, like:
Game.of.Thrones.S01E04.720p.Webrip.ENG.srt
Game.of.Thrones.S01E04.720p.Webrip.ITA.srt
and of course, you keep both the video and the sub file in the same directory
also, some players read the sub file automatically, if you put them in a subdirectory called "Subs", but you normally have to rename the sub files in any case
VLC, but also MPC-BE, MPC-HC, OpenSubtitlesPlayer, etc. work like this
the Windows native apps to read video files don't work like this, but i have no idea how they work, and i would recommend not to use them , and to go for something like VLC