It can be known from Microsoft support website that Windows Media Player still won't play MKV files.
To successfully play MKV files in Windows Media Player, it is quite wise to convert MKV to Windows Media Player more supported video formats like WMV, AVI, ASF, MP3 and more.
Here is a full guide about how to do this at:http://www.bigasoft.com/articles/mkv-windows-media-player-solution.html