Try and watch the DVD, if the DVD is CC, then the CC will come on as the TV will do it for you (as the CC are enabled on the TV). I have run into several DVDs that have the CC symbol on the back, but no menu option on the DVD - as long as you turn on the captions through the TV, captions should appear. The other option is to look on your DVD remote for a subtitles/closed captions button and activate the closed captions from there. If you activate the closed captions from the DVD remote, and it says on the screen that captions are activated, make sure to turn off the captions through the TV, or you will have double captions.
Some DVD menus are just poorly designed.
Steve