When watching a program, press the select button, a menu will appear at the bottom. Scroll over to CC and select it. Once you select CC, you will be given an option to select, if there are no options, CC is not available.
Scroll down to System Setting for Close Captions to edit the way they are displayed and the language you want them displayed in.
It is common though to have the CC option, but it doesn't work. If it's not working, try playing it through an external player such as VLC or MX Player then choose your CC.