A MKV file is a video file similar to AVI and MP4. A MKV file is an open source container format allowing the compression size to be phenomenal. MKV is one of the smallest formats for movies that play in great quality (Not as good as AVI, but close)
To play a MKV file the easiest way is to download Windows Media Player Classic. Everyone is familiar with Windows Media Player, and classic is just a simpler, easier version of it.
Another alternative to play a MKV file is a program called VLC player. This is a simple media player that supports a huge amount of file types, including MKV.
Those are the two simplest ways to play MKV files. For the more advanced computer users, downloading a codec pack would also be an acceptable way to play MKV files. The most popular one is called Combined Community Codec Pack. This pack is the most current codec pack for the new age media extensions. Installing a codec pack requires you to also have the codec insurgent which can be found along with the CCCP. Once installed Windows will be able to recognize MKV files, and play them without a problem.