Here's thing about that, when i download anime from torrents, they're either in japanese without the english subtitles or they are a MKV file that opens in windows movie maker, so it never really works out for me.
Just right click the file and open with Media Player Classic. Also, are you sure you're downloading subbed anime and not just the raws? If you are sure it's subbed then once you have the video open just right click on the video screen and go to >filters >:C/users/... and make sure you have Eng subs enabled.