Playing .avi file

[JD]

Using mplayer to play an avi file.
the dir where the file resides also contains an srt (subtitles file).
The files are named
Sams_Journey.avi  and
Sams_Journey.srt

If I play the avi file with mplayer, the subtitles do appear.
However,if I copy the avi file alone to another dir and I
play the avi file in that dir, the subtitles do not appear.

Is there a way for me to incorporate the subtitles file into the
avi file, or (any other format, such as mpg or mp4)?