There are several ways - firstly, make sure that you are using the advanced layout and check the timeline - in there you will see subtitle tracks - up to 32 of them. Double click in S1 and watch the screen above - you'll see a cursor appear and you simply type the subtitle that you want.
However, you won't be able to easily move or change it once done, and for this reason it's better to do all subs in an external editor and import them in when done. This will allow you to control the time codes more precisely than DVDSP lets you. Any editor will do as long as it outputs legal files - and a text editor is just fine. DVDSP will import .txt files as subs.
The manual is pretty good on this stuff - you'll need to ensure that you choose the correct options when it comes to showing the subtitle or not, and this is up to you as author to decide. Force them on, or allow the user to select them as they want... your call.