MKV is a video file format that surged to popularity in 2007. On Windows, you can play MKV files with many different video players, including the latest version of Windows Media Player, and the less-annoying Media Player Classic that comes with the freeware K-Lite Code Pack.
On the Mac, you can play MKV files with the versatile, and free, VLC.
For technical details, see the Wikipedia Matroska page.