As I know the Windows Media Player doesn't suuport the SubRip SRT-Files, but the smi (SAMI-Files, closed captions). I use the smi-file to show the multi-language subtitles. You can covert very easy your srt to the smi, or create your own smi subtitles, using a free "Subtitle Workshop" tool.
You can also add another language to the smi, here is some samples: Captioning for Windows Media.
You can also change the language of the subtitles using the closedCaption properties, like
AxWindowsMediaPlayer.closedCaption.SAMILang = "German";
or set the smi-file direclty
AxWindowsMediaPlayer.closedCaption.SAMIFileName = "subtitles.smi";