An MKV file is a Matroska file. Matroska is an open source container format.
It is an alternative to the popular AVI and MP4 formats and it also surpasses
them in many areas.

Matroska (MKV) is a container format file that stores multiple streams
(video, audio and subtitles).

VideoLan Client (VLC) can play MKV files with no additional codecs...
http://www.afterdawn.com/software/video_software/video_players/vlc.cfm

To play with DirectShow clients such as media player, etc., use the Matroska
Pack.
	http://packs.matroska.org/

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Media Player Classic (MPC) is a must have player if you download a lot of video.
Conveniently, MPC also includes support for Matroska with its own DirectShow
parser filter. Using MPC, you can use several other features of Matroska, like
switching between multiple audio streams easily. However, there is a problem,
the parser is out-dated in the latest version of MPC. For this reason, you are
better off disabling the internal matroska parser in Media Player Classic and
relying on up to date external software (install Matroska Pack).

Open Media Player Classic and click View --> Options. Select Internal Filters
on the left as shown above and disable Matroska under source filters. Install
the Matroska Pack now.