Seems that I am the only one who had this problem... ok, here is the solution:
AoA DVD Ripper http://www.aoamedia.com
This software allows you to copy all tracks of the DVD in one shot (just click which you want), allows you to define the output format (for me it was .wmv, but you can also choose AVI or MPEG) and, most important for me, also select that subtitles are integrated. I needed the subtitles, because on this DVDs the Karaoke Text was coded as subtitles.
Works perfect and fast. No problems with it, beside a tricky handling: You have to choose for each track the output format (e.g. .wmv) and "subtitles yes" by highlighting the chapter name and make the settings for each. Took me a while to find it out, but beside this everything is fine. You can also define the screen resolution and the audio quality you want.
The software can be downloaded in a trial version, which allows you to rip max. 10 minutes of a film in one shot... so you can easily rip a song with 4 minutes. I bought the license anyway for 34,90 US$.
Ah, yes... it also works on copy protected DVDs. The rip speed is for a 4 minutes song in a 640 x 480 resolution on a fast (Quad Core) PC below 10 minutes.