What worked for me was reinstalling DivX which has built in *.mkv support. You remember DivX, right? They’re the ones who used to run the Stage6 site. Works fine for me and all I had to do was check a single box.
If you’re wondering why this post is here, I had planned on copying over the instructions on how to do it in WinAMP but, like I said, I never could get it to work. Why waste a good post?
Now, I’m off to watch Burst Angel. 😉