1. Install the latest stable version of ffdshow tryout. ffdshow tryouts | Download
(Turn on subtitles in the video decoder setup and set preferred language to english in the vobsub section)
2. Install Haali Matroska Splitter. http://haali.su/mkv/
( In the Settings>Options>Languages fill up the priority in the Value field. Look into the baloon tips for guidance.)
Open an mkv file in Windows Media Player ( File>Open). WMP may not see the mkv file. Choose any file *.* setting on the left to show the mkv file.
When the dialog box pops up "Do you want the player to try to play this content", check " Don't ask me again for this extension" and then select "yes"
You have now associated the mkv files with WMP.