Welcome to TechIMO
You want close captioning for what?
your tv?
DVD Software?
Or are you watching a downloaded movie in kazaa lite?
If you want to use actual features, I'd suggest watching the movie in Windows media player instead. (kazaa uses windows media player codecs, so it will play the same but you'll get the functionality of the full player).
FYI I'd guess most cases any downloaded movies probably wont' include the CC.