Most modern Flat Screen TV (LCD or LED TV) allow you to play movie directly from USB. If you want to play the movie with subtitle what you need to do is:
1. Download the movie subtitle form any subtitle site such as subscene.com or opensubtitles.net
2. Now move both movie file and subtitle file to your USB device.
3. Change the subtitle file name with the movie file name so that both have the same file name (the file extension/format will remain differ to each other).
4. Then plug the USB drive into your TV and play the movie.
5. Press the subtitle button to display the subtitle when the movie start playing. Example for Sony Flat Screen press the Green Button.
Most subtitle format available online is srt. However you can change the subtitle from .sub to .srt using online subtitle converter.