When I press the yellow button on the remote control, there is no caption function available. How can I set up the slingbox to get subtitle?
The Slingplayer Desktop will show captions for the Composite and S-Video connection provided the content you're watching provides compatible close captioning. (http://support.slingbox.com/get/KB-1000090.html).
However, if you're talking about the respective color buttons on the Slingplayer virtual remote. That will depend on the manufacturer's set-top box and the associated remote file that was programmed for it during the Setup Assistant.