I am assuming you bought this because your HDTV doesn't display captions properly; some old ones had that problem.
But captions come from the TV signal. The only way you would get captions in Chinese is if you were watching Chinese. If, maybe, you are in China and watching US programs - the audio can usually be played in English but captions will be in Chinese. (I experienced this living in Japan, the "bilingual" feature is only for audio.)
If you are not in China or watching Chinese TV, then it shouldn't be in Chinese. Where are you and what are you trying to watch?
Unless you meant the setup is in Chinese and you need to switch the interface to English. For that you could go around all the settings and look for 语 which means language. By the way, if it is in Japanese, it would be 言語.
