my question is, how do u link it to ur DVD when u burn it?
You can't burn external subtitles on DVD-video disc (if you mean this). Maybe it's theoretically possible, but use them only with DivX, XVid etc.
Can you just burn the movie + subtitle as 2 things, which automaticly work together?
Yes we can... and you too! Put the subtitles into the same folder as movie and also both with the same name, e.g. "The Matrix.avi" and "The Matrix.srt". It's also better to use *.srt format, rather than *.sub, *.txt etc.
If you do this, it will automaticaly work in most situations (also in external DVD players)
Do you have to link it to a player and then burn it?
I don't understand what you mean... but I think you don't have to do anything else.