I guess the best free software to add subs to videos then export them to one single file is VirtualDub, it's easy and there are plenty of tutorials about it, download it from here:
To download from Youtube, you can download IDM for the trial period or download it through torrents with the patch but at your own risk
To get the 30 days trial download from here:
Usually after installing it, just move the mouse cursor over the video and it will show above the video box on the right a button to download it, or you can just right-click on the page then choos download flv files from the last 10 and it will show you a list of the last ten streamed videos you requested to choose one of them, or the simple way:
launch the application (IDM) go to edit->options, then choose File Types, and add the extension in the extension box:
And IDM will grab any streamed video that you open its page.
I hope this can help insha'a ALLAH.
Taken from: AbuBakr Jazairi's post (Islamic Awakening Forums)