No it's working fine. It's just that you do not know how to set it up for using Dual Audio. Trigun is a dual audio. You should have stated that you are hearing the English Audio. Here is how you change to watch it subbed.
I am using XP; however, it should be the same for Vista as well.
When you open up the Trigun Episode in Windows Media Player. You will see bunch of icons on your task bar. Let the Episode Start Playing for like few seconds then pause the video.
Your Task Bar should look something like this:
You should either see VobSub:

or Haali Media Splitter:

. You might see both as you the Mega Pack. It does not matter which one you have and if you follow the instructions to set with either one of them then it will work fine. ^^
If you see VobSub:

then right click on the image in your task bar. You should see something like this:
The reason why you have not been seeing the subtitles is because of the options that is checked off. You have to turn on the Japanese Audio and the Subtitles and once you do then it should look like this:
If you see Haali Media Splitter:

then right click on the image in your task bar. You should see something like this:
The reason why you have not been seeing the subtitles is because of the options that is checked off. You have to turn on the Japanese Audio and the Subtitles and once you do then it should look like this:
Once you have set either one of them then resume the Episode in your Windows Media Player and then you should hear Japanese Audio and see the Subtitles. ^^ If you are still having issues let me know and I will try to simplify it further. However, you have to do this for EVERY single episode that you do not see subtitles or hear English Audio if they are in MKV or OGM file format.