The only option that would not require burning the captions is acquiring a text file with the captions, which is usually in a format called SRT. You can download SRT files from a number of online sites, most all of which are free. Here's a list of some available sites. You can also use a program that can open your video file, decode the captions, and save them to an SRT file. The problem with both of these methods is the time it takes to find and download the correct SRT file for your media. And sometimes there simply isn't a matching SRT file in any of the repositories. And opening each media file to extract the captions would also be time consuming.