By didn't work you mean that you don't see any subtitles in the DVD's subtitle menu when you try to play it in your DVD player? In other words did you turn on the subtitles option in your DVD player?

Or you mean they appear but they are just frustrating characters?

By the way before burning the DVD you can check with a software DVD player, such as VLC, and check if the subtitles are correctly inserted in the movie. Just point it to play the VS_Video folder.

Edit: Something else that I noticed. The .idx file is only needed if you have a .sub subtitle. For .srt you don't need it. So don't include it in your DVD project.