Viewing closed caption in published projects

I have created a video in Presenter Video Express with closed captions. In the projects view, I see the captions at the bottom of the screen. When I publish it to my computer, it generates a .mp4 file and a .srt file, but when I play the .mp4 file using Windows Media Player, I do not see the captions (I have the captions feature turned on for WMP).  Suggestions?