You have to mux the subtitles into the video stream before you burn it with Nero. There is nothing in Nero to support adding subtitles. I was never able to have subtitles work if I burned a BIN/CUE image with Nero, but if I used Nero's SVCD template and burned a SVCD with it that had subtitles muxed into the stream, they worked fine.
http://www.doom9.net has some subtitle programs and maybe some guides too. I used to use DVD2SVCD to create SVCDs with subtitles, so I'm not really an expert at this.