MKV container supports video and audio codecs Virtually anything and also supports subtitles and DVD menus. So you can just copy codecs from input video to output video with MKV container with subtitles. First you should convert SRT to ASS subtitle format
ffmpeg -i input.srt input.ass
and embed ASS subtitles to video
ffmpeg -i input.mp4 -i input.ass -c:v copy -c:a copy -c:s copy -map 0:0 -map 0:1 -map 1:0 -y out.mkv
Also worked with VMW file.
ffmpeg -i input.wmv -i input.ass -c:v copy -c:a copy -c:s copy -map 0:0 -map 0:1 -map 1:0 -y out.mkv
see the wiki page Comparison of container formats