Hey onalayah,
Thanks for the question. The following resource outlines how to turn on Closed Captioning and Subtitles, should the content you are viewing include them:
iTunes for Windows: Closed Captioning and Subtitles
http://support.apple.com/kb/HT5912
Note: while the above resource is titled for Windows, the same steps apply for Mac OS X.
Additional Information:
You also want to make sure that the content you are purchasing from the iTunes store includes Closed Captioning and/or Subtitles. Not all content may include these features, and closed captioning availability varies by country:
iTunes Store: Closed captioning
http://support.apple.com/kb/HT4613
iTunes 11 for Mac: Accessibility solutions for iTunes
http://support.apple.com/kb/PH12108
Thanks,
Matt M.