See page 41 of owner's manual.
Also see this link:
DVP5960/37 - DVD Player - Players and recorders - DVD and home theater - Philips
Click on Owner's manual link and go to page 41. It does not specify whether it will work through HDMI. Let us know if this will work. This is the first DVD player I have seen with Closed Caption support. This is interesting. How much did you pay for it?
Peter