It's a multimedia containter, just like .avi, .wmv or a bunch of other containers, but more versatile. See here:
http://en.wikipedia.org/wiki/Matroska. Here's a guide for .mkv playback:
http://www.afterdawn.com/guides/arch...o_play_mkv.cfm
Of the free media players I'm familiar with at least
Media Player Classic HC and
VLC Media player play it out of the box, no additional stuff needed. They both also contain the necessary codecs(H.264 and AAC) for the video and audio in that film. These are really the easiest options, since you won't have to install anything else.
Then again if you can't be bothered with all that just watch the streaming version
