Look at:
1. Tools > Options > Video > Subtitles & Language > set them all to OFF.
2. Tools > Options > Television > Display > Closed Captions > uncheck to box.
And then during playback:
-Using mce IR remote control, press the up arrow button a few times until you see "Subtitles", from there use the Enter/Select button and left/right arrows to choose from the available options. One option should be "Off".
OR
-Using a mouse, right click > Subtitles > Off.