To make Windows Media Player show captions:
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Make sure Windows Media Player is running in its own window, and not in the IE
Media bar. To force WMP to use a new window, right-click the link
and select "Open in new window".
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When WMP is running it its own window you will not see slide transitions until
you do the following: Use WMP Tools menu: Options and select the Security
tab. Click "Run script commands when present" then OK. Close WMP
and restart the video.
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Use WMP Play menu:Captions and Subtitles to enable captions.