Once your media is captioned, different players have different mechanisms for allowing the viewer to turn captions on or off; this page offers some guidance on how to do this.
Windows Media Player:
Unlike most players, Windows Media Player defaults to not displaying captions – you need to turn on the captions to display them. First, make sure Windows Media Player is running in its own window, and not in the IE Media bar. To force Windows Media Player to launch in its own window from a link in your browser, right-click the link and select “Open in new window”.
In Windows Media Player, if you are playing the captions from a local file, there is a security setting that first needs to be set before Windows Media Player will display captions in version 10 or later. On the Tools menu, click Options, and then click the Security tab. Then check the Show local captions when present box, and click Apply.
Now, turn on the captions: open the Play tab, then the Captions menu, and make sure the On if available option is checked. Then exit the player and relaunch for the changes to take effect.
You can see other Windows Media troubleshooting tips here.
If your QuickTime player is not showing captions by default, open the Edit menu, choose Preferences and click on Player Preferences. On the General tab, check the Show closed captioning when available and the Show subtitles when available boxes, and finally click Apply. Then exit the player and relaunch for the changes to take effect. You may also need to open the View menu on the player, and click on Show Closed Captioning.
Learn how to turn on closed captions on your Xbox 360 in Microsoft's Closed captions in Movies & TV content on Xbox 360 article.