i think the Matroska container format (mkv) can do things like that. I remember reading that you could store video/audio content in separate files without player configuration. No idea how well that's supported though.
Update: Sorry, but i just realized you were more likely to ask about what this software can do and not how to link external subtitle files to your video.
Update: Sorry, but i just realized you were more likely to ask about what this software can do and not how to link external subtitle files to your video.