First of all, make SURE that the .SUB is actually a .SUB *TEXT* file, with timming information and the subtitles. It happens that there are lot's of .SUB DVD files, which are actualy bitmap graphics and XBMP can't display them correctly. I had this problem and simpy converting this for the .SRT format, which is text, solved the problem. Not that the DVD .SUB file worked flawlessly on my PC, but not on XBMP.
Also, make sure that the subtitle file has EXACTLY the same name as the video file. If you have a file my_video.avi, the subtitles MUST be named my_video.srt.