If you're using the video app that comes with the iPad, then go to settings - video. You should see the slider to turn on/off closed captioning.
If you're using a different app, let us know which one. Someone will help.
The video player app that comes with the iPad plays only supports a couple of video formats
See here http://www.apple.com/ipad/specs/
I also have the AVPlayerHD and Buzz Player. They Will play other formats.
There are other player apps available. But, I'm happy with these two.