the only thing you ever have to install is a splitter (haali media splitter is what I use)
I think what Michael was saying is that out-of-the-box, Windows 7 doesn't support MKV. In fact, despite numerous reports, it doesn't support DivX, either. Microsoft includes H.264 and MPEG-4 ASP decoding, which will get you away with play most DivX .avi files, but not the full DivX format with features like subtitles, chapters, etc.
As a preview to our work on DivX Plus Codec Pack, we launched a tech preview of MKV on Windows 7, which included the first splitter for MKV that worked with Microsoft Media Foundation, allowing for Windows Media Player and Windows Media Center to recognize and decode MKV files with H.264 video and AAC audio, what we call DivX Plus HD.
The new installer lets you uncheck components you don't want, so you could just install the free DivX Plus Codec Pack, which would have a tiny footprint, but give you DirectShow filters, a super fast H.264 decoder with optional DXVA, and the Media Foundation components for Windows 7.
The only part of the software that's trial is the Pro portion of DivX Plus Converter, which means after 15-days, the DivX profiles turn off, but you'll still be able to create DivX Plus HD files for free after the trial