Unlike subtitles, closed captioning is enabled through your television remote, not your DVD or Blu-Ray player remote.
Please note that the closed caption signal is not compatible with HDMI -- for your TV to read captions, your player must be connected to your TV with a yellow component cable.
If you're watching your DVD on a desktop or laptop computer, VLC player can detect closed captions, which can be enabled by selecting the program's Subtitle → Subtrack menu option.