Just in case: I'm using MediaPlayerClassic and initialy, the subtitles didn't appear properly. Instead of proper cyrilic, I had subtitles like: "Ýòî ÷òî âñå òâîè âåùè?".
After several tries, I found a solution using Notepad++:
1. Encoding/Character Set/Cyrillic/Windows-1251
2. Encoding/Convert to UTF-8
3. save the .srt document.
4. Open your movie with MPC-HC: you should have proper cyrillic subtitles!