If you purchase the MS Producer resource disk available here HERE you will find it contains an example of a Captioned Video template, along with this white paper captioning in Producer (MS Word format)

I found the one captioning template on the CD (captioned video with fixed-size slides) was a good beginning but quickly realized I needed several others. I made two more, which can be downloaded below. To use these templates, unzip them, and put the entire folders into the Producer templates directory on your C drive.
Within Producer, they will show up within the Templates area as:

“Standard Captioned Audio – Resizable Slides” Download Zip File (36K)
and “Standard Captioned Video (320×240) – Resizable Slides” Download Zip File (36K))

1.Edit and publish your Producer presentation as usual but using one or more of these captioning templates, then locate the folder that contains the published presentation. In that folder, you will find a file called “gogoprod.txt”.

2.Add this line to the end of gogoprod.txt:

 MediaPlayer.closedCaption.captioningID = "Misc8DIV";

This tells Windows Media Player where the captions should show up.

3.Then you need to write a SAMI file for each of the Windows Media Files that Producer created for your presentation. If you’ve never captioned before, I suggest reading “A Quick Start on captioning web video with Subtitle Workshop” to get going with free software.

4.Next step: telling Windows Media Player how to find the caption text file:

Once the SAMI files are created, put them on your web server, and note the location.
Open the folder that contains your published Producer presentation and locate 0Media.asx – in the subfolder titled “YourProjectName_files.

Open 0Media.asx in a text editor.
For each entry that you want captioned, you need to add

?http://location.of.your.sami.file/0MM0.smi

to the end of the URL for that entry.
So for example,

<ENTRY>
  <REF HREF = "mms://your.streaming.server.com/media/0mm0.wmv"/>
</ENTRY>

becomes

<ENTRY>
  <a href=mms://your.streaming.server.com/media/0mm0.wmv?http://location.of.your.sami.file/0MM0.smi/></ENTRY>

Test your presentation in the browser, and if the captions don’t show up, double check the path to the SAMI file, and be sure that the new “gogoprod.txt” is in place.

See related articles on captioning Here

For more information see the whitepaper put out by Microsoft.