Captioning is avaliable in English. If you don't see captioning, make sure that you have the captioning turned on in the windows media player. Below are instructions on how to do this according to your version of Windows Media Player:
Select View » Captions or
Select View » Now Playing Tools » Captions
Select Play » Captions and Subtitles » On if Available
Also make sure that captions are selected in your security settings.