I've got DirecTV and I believe that I have the HR20 receiver. Here's what I do to control Captioning through DirecTV:
Menu---->Parental, Fav's, & Setup---->System Setup---->Display---->
This leads to a window with three tabs at the top:
Preferences|Captioning|Clock
Move up and select Captioning. You can select from various options, including On/Off, Font, Text Size, and Text Color.
I hope this helps.