how to encode subs (.idx) permanetly onto movie file?

most of the time the movies i download come with seperate subs, meaning i have two files - a sub file (.idx, .srt, etc.) and a movie file (.avi, mpg, etc.). in order to understand the film, i use VobSub to play the subs on the movie. i was wondering if there was a way that i can put the subs on the movie so it becomes one whole file, not two, so i can then cut the movie and burn it onto 2 cd-rom's. does anyone know?

 

http://www.divx-digest.com/articles/subtitle_merge.html