+1 to the hardcodes versus softsubs thing. ogm is a container format much like mkv in that it can support extra streams (one of the reasons it became the standard for high end anime encodes at one point, the other was quality and stream support which I skip here).
Also ditch WMP for anything other than the basic AVI stuff (and I would drop it for avi as well) and get something like CCCP (linked in my signature).
Hardcoded streams. As KDH says they are "burned" into the picture and are not able to be removed (ostensibly done to prevent copying, in actuality it only takes an extra minute or two to work around).
You can however abuse the logo removal features of stuff like FFDshow as a kludge fix (especially if the subs appear at least partially over the black edges which I have seen more than once).
Softsubs (possible)
A few things, is there a green arrow in the system tray when playing? This is vobsub (or directvobsub) and is probably responsible for your subtitles (most old anime packs, now CCCP and most other codec packs use it). A right click should be able to sort it. FFDshow might also have the sub filter from that (double click the black or red coloured FF in the system tray).