Here are the steps I use to create a new captioning file in Subtitle Workshop.

1. Create a new file. (File-->New Subtitle-->Save-->Select a format, then double click its icon-->in Save AS dialog, Browse to chosen location, type in a file name, and hit "save" )
2. Under "Movie," open the video you want to caption.
3. Hit the insert key to create a new caption line.
4. Type control-space to start it playing: this toggles play/pause.
5. Listen to a single phrase (just as much as you can remember!)
6. Hit control-space to pause playback, then alt-v, to set the end of that caption's duration.
7. Type what you just heard
8. Hit insert key to begin a new subtitle one millisecond after the last
9. Control-space resumes playback
10. Listen to a second phrase.
11. repeat

My new article on captioning for Windows Media and Quicktime with Subtitle Workshop - complete step-by-step instructions from start to finish:A guide to Captioning Windows Media and QuickTime Using Subtitle Workshop. (membership required)

Take a look at the info page for more on Subtitle Workshop HERE.