buring DVD subtitles

I try to burn FF7AC on DVD in a movie format with subtitles,
what i have is just the .avi and .sub file
but as far as i know not even Nero 6 vision can do this.  I was wondering
if there a program that can burn avi into DVD movie while adding subtitles
to it at the same time
Thanks!

i _must_ convert avi to vob or bup file in order for it to become DVD video, right?