Roksbox uses SRT files to display subtitles. SRT files have the extension .srt, and can be created manually (difficult), by using software such as Subtitle Workshop, or can be downloaded from online sites such as http://mysubtitles.com, or http://subtitles.com.br.
To use subtitle SRT files in Roksbox, name your SRT file the same name as your video file, with the .srt extension (MyVideo.mp4 would be MyVideo.srt), and put it in the same folder as your video. That's all you need to do. Roksbox will find the SRT file, and display the subtitles when the video plays.