DFXP files are xml based closed caption files. They generally contain formatting information like font color and alignment, among others. One DFXP file can contain captions in multiple languages. The viewer will show either the language that it normally displays by default, or whatever language the user chooses (if the file contains that language.)
Ooyala video systems will only use DFXP files for closed captions. For more info on Ooyala as well as an example of the DFXP format, visit Ooyala’s official web page on the topic.
DFXP is certainly a much less common format than .srt files, but most professional closed caption creators can export them. As always, make sure the company you’re working with can supply closed caption files in the format you need.