How to convert video with subtitle?

I currently using Any Video Converter and when I convert dvd film to mp4(for my phone) ,i don't know how to add the subtitle into the video. Its have no problem when converting Anime which both the video and subtitle are in the same file. Anyone know what I'm supposed to do?
And sometime i found some video file with separated subtitle file(usually .srt),how I'm supposed to deal with that?
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Thanks

just have the .srt file name be the same as the video file

Indeed.

Or in the future, just download videos that are hardsubbed. (As in, you can't turn the subs off) If they are soft subbed, unless you have it set up properly (Like Cilx said) then it won't bring the subtitles with it as it gets converted.

But my phone can't recognized .srt file, so it must be patched into one with the video file.