It's pretty strange in 2010 but looks like SMplayer can't autoload external subtitles with name longer than 8 symbols or containing spaces in it. Like 1234567.avi + 1234567.srt works perfectly fine, but with 1234 567.avi + 1234 567.srt it's necessary to load sub-file manually. WTF? Simple MPlayer had no such problems.
"pass short names to mplayer" is disabled, but SMPlayer can't autoload external subtitles if path to file contains cyrillic symbols. I use SMPlayer 0.8.4 (64-bit) (portable) on Windows7 x64 Russian.
I've got a similar report but with Chinese characters. It seems the recently added support for unicode filenames in mplayer doesn't work well with autoload subtitles.
Try to use the package with mplayer2, it seems mplayer2 doesn't have this problem.
I added cyrillic characters to a video and subtitles, and smplayer with mplayer2 autoloads the subtitles, although the subtitles names don't show correctly in the menus.
Although loading a subtitle manually doesn't work, unless the option to pass short names is enabled.