I have some MKV files but I can't play them. What sort of thing would I need to play them with Media Player. Could somone point me in the right direction please.

You can choose Matroska Pack to play them or if you don't want to install codec packs (like me) install Matroska Splitter. If Windows Media Player 10 or 9 can't play, try Media Player Classic.

Note: Please read the instructions on the Matroska Splitter page in connection with its installation (registering) and the codecs you may need to play the streams in the MKV container.

Where is this Matroska Splitter page?
I downloaded the matroska pack, but nothing says what goes where.

Here it is:
http://www.free-codecs.com/download/Matroska_Splitter.htm

or you can try Haali Matroska Splitter